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Option pricing based on the generalized lambda distribution

Corrado, Charles Joseph - In: The journal of futures markets 21 (2001) 3, pp. 213-236

Persistent link: https://www.econbiz.de/10001556707

The hidden martingale restriction in Gram-Charlier option prices

Corrado, Charles Joseph - In: The journal of futures markets 27 (2007) 6, pp. 517-534

Persistent link: https://www.econbiz.de/10003493103

S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula

Corrado, Charles Joseph - In: The journal of futures markets 16 (1996) 6, pp. 611-629

Persistent link: https://www.econbiz.de/10001206958

Repricing and employee stock option valuation

Corrado, Charles Joseph (contributor) - In: Journal of banking & finance 25 (2001) 6, pp. 1059-1082

Persistent link: https://www.econbiz.de/10001580692

An empirical test of the Hull-White option pricing model

Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378

Persistent link: https://www.econbiz.de/10001242646

A note on a simple, accurate formula to compute implied standard deviations

Corrado, Charles Joseph - In: Journal of banking & finance 20 (1996) 3, pp. 595-603

Persistent link: https://www.econbiz.de/10001197032

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

Bagnarosa, Guillaume - 2018

The purpose of this paper is to develop a new non-parametric method to price options based on normalized Multipoint Padé Approximants. Following the seminal paper of Padé (1892), we propose to approximate the risk-neutral distribution by a rational function of polynomials that can accommodate...

Persistent link: https://www.econbiz.de/10012919714

Options trading and the cost of equity capital

Naiker, Vic; Navissi, Farshid; Truong, Cameron - In: The accounting review : a publication of the American … 88 (2013) 1, pp. 261-295

Persistent link: https://www.econbiz.de/10009711730