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Valuing commodity options and futures options with changing economic conditions

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 51 (2015), pp. 524-533

Persistent link: https://www.econbiz.de/10011476145

The valuation of options on index futures with stochastic dividend yields

Zambrano, Enrique A.; Sequera, Rednaxela - In: International Journal of Financial Markets and … 7 (2020) 4, pp. 375-396

Persistent link: https://www.econbiz.de/10012510322

Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Venter, Pierre J.; Maré, E. - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate...

Persistent link: https://www.econbiz.de/10012588206

Financial option insurance

Wang, Qi-Wen; Shu, Jian-Jun - In: Risk management : a journal of risk, crisis and disaster 19 (2017) 1, pp. 72-101

Persistent link: https://www.econbiz.de/10011729330

Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015

Persistent link: https://www.econbiz.de/10011777512

Hedging futures options with stochastic interest rates

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016

Persistent link: https://www.econbiz.de/10011778107

The binomial option pricing model : the trouble with dividends

Tian, Yisong Sam - In: International journal of financial engineering 10 (2023) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10014444726