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Valuing call options on single stock futures : does the put-call parity relationship hold in the South African derivatives market?
Biebuyck, A.; Van Rooyen, J. H. - In: Risk governance & control : financial markets & institutions 4 (2014) 3, pp. 30-43
Persistent link: https://www.econbiz.de/10011452499
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Pricing vanilla options using artificial neural networks : application to the South African market
Du Plooy, Ryno; Venter, Pierre J. - In: Cogent economics & finance 9 (2021) 1, pp. 1-15
In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface. The prices generated by the ANN were compared to the prices obtained using the Black-Scholes (BS) model....
Persistent link: https://www.econbiz.de/10013183896
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Risikomanagement mit Zins-Futures und Futures-Optionen
Fiebach, Günter - 1994
Persistent link: https://www.econbiz.de/10000412300
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Option trading
Merrifield, Lewis B. (contributor) - 1974
Persistent link: https://www.econbiz.de/10000534207
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Option trading and oil futures markets
Chassard, Christophe - 1987
Persistent link: https://www.econbiz.de/10000336841
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Options, futures, and other derivative securities
Hull, John - 1989
Persistent link: https://www.econbiz.de/10000083643
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Performance of Delta-hedging strategies in interval models : a robustness study
Roorda, Berend; Engwerda, Jacob Christiaan; Schumacher, Hans - 1999
Persistent link: https://www.econbiz.de/10000168292
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Mercados de futuros financieros y de opciones
Parada, Rigoberto - 1993 - 1. ed
Persistent link: https://www.econbiz.de/10000899679
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Auswirkungen der Einführung von Stillhalteroptionen auf die Basismärkte
Tanner, Markus - 1994
Persistent link: https://www.econbiz.de/10000900500