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Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Economics letters 145 (2016), pp. 225-229

Persistent link: https://www.econbiz.de/10011618437

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Mittnik, Stefan - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10012153100

Financial markets with no riskless (safe) asset

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-24

Persistent link: https://www.econbiz.de/10011787424

Another look at the Ho-Lee bond option pricing model

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53

Persistent link: https://www.econbiz.de/10011965408

Option pricing in an investment risk-return setting

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638

Persistent link: https://www.econbiz.de/10012875529

Enhancing binomial and trinomial equity option pricing models

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Finance research letters 28 (2019), pp. 185-190

Persistent link: https://www.econbiz.de/10012388304

Option pricing in markets with informed traders

Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan V.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-32

Persistent link: https://www.econbiz.de/10012496747

Option Pricing in an Investment Risk-Return Setting

Kim, Young Shin - 2019

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...

Persistent link: https://www.econbiz.de/10012865720

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378

Persistent link: https://www.econbiz.de/10011963681

Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing

Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005

Persistent link: https://www.econbiz.de/10002817530

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