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Case study of event risk management with options strangles and straddles

Kownatzki, Clemens; Putnam, Bluford H.; Yu, Arthur Zeyang - In: Review of financial economics : RFE 40 (2022) 2, pp. 150-167

Persistent link: https://www.econbiz.de/10013185897

Effects of the Covid-19 pandemic on derivatives markets : evidence from global futures and options exchanges

Emm, Ekaterina E.; Gay, Gerald D.; Ma, Han; Ren, Honglin - In: The journal of futures markets 42 (2022) 5, pp. 823-851

Persistent link: https://www.econbiz.de/10013187605

Dynamic delta option strategies in Nordic electricity markets

Klemola, Antti - In: The journal of energy markets 11 (2018) 4, pp. 27-50

Persistent link: https://www.econbiz.de/10012001973

Affine-structure models and the pricing of energy commodity derivatives

Kyriakou, Ioannis; Nomikos, Nikos K.; Papapostolou, Nikos C. - In: European financial management : the journal of the … 22 (2016) 5, pp. 853-881

Persistent link: https://www.econbiz.de/10011713164

Automated option trading : create, optimize, and test automated trading systems

Izraylevich, Sergey; Tsudikman, Vadim - 2012

Persistent link: https://www.econbiz.de/10009554537

Automated Option Pricing : Numerical Methods

Henry-Labordere, Pierre - 2011

In this paper, we investigate model-independent bounds for option prices given market instruments.This super-replication problem can be written as a semi-infinite linear programming problem. As these super-replication prices can be large and the densities Q which achieve the upper bounds quite...

Persistent link: https://www.econbiz.de/10013117814