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A general closed-form spread option pricing formula

Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906

Persistent link: https://www.econbiz.de/10010342187

Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10009685897

A closed-form pricing formula for European options in an illiquid asset market

Pasricha, Puneet; Zhu, Song-Ping; He, Xin-Jiang - In: Financial innovation : FIN 8 (2022), pp. 1-18

This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid. A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide...

Persistent link: https://www.econbiz.de/10013170252

Pricing vulnerable options with stochastic volatility and stochastic interest rate

Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429

Persistent link: https://www.econbiz.de/10012272041

American and exotic option pricing with jump diffusions and other Lévy processes

Kirkby, J. Lars - In: The journal of computational finance 22 (2018) 3, pp. 89-148

Persistent link: https://www.econbiz.de/10011988194

Swing option pricing by dynamic programming with B-spline density projection

Kirkby, J. Lars; Deng, Shijie - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-53

Persistent link: https://www.econbiz.de/10012183215

A general closed form approximation pricing formula for basket and multi-asset spread options

Pellegrino, Tommaso - In: Journal of mathematical finance 6 (2016) 5, pp. 944-974

Persistent link: https://www.econbiz.de/10011658120

Bias reduction in spot volatility estimation from options

Todorov, Viktor; Zhang, Yang - In: Journal of econometrics 234 (2023) 1, pp. 53-81

Persistent link: https://www.econbiz.de/10014364661

Volatility of volatility and leverage effect from options

Chong, Carsten H.; Todorov, Viktor - In: Journal of econometrics 240 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10015074616

On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726