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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent …
Persistent link: https://www.econbiz.de/10003636657
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The valuation of reset options when underlying assets are autocorrelated
Liu, Yu-hong; Jiang, I-ming; Lee, Shih-cheng; Chen, Yu-ting - In: The international journal of business and finance … 5 (2011) 2, pp. 95-114
Persistent link: https://www.econbiz.de/10008809184
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Market expectations and option prices : techniques and applications ; with 13 tables
Mandler, Martin - 2003
Persistent link: https://www.econbiz.de/10001746869
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On bounding option prices in Paretian stable markets
Popova, Ivilina - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 32-43
Persistent link: https://www.econbiz.de/10001246678
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When does convergence of asset price processes imply convergence of option prices?
Hubalek, Friedrich - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 385-403
Persistent link: https://www.econbiz.de/10001252755
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Extracting market expectations from options prices : case studies in Japanese option markets
Nakamura, Hisashi; Shiratsuka, Shigenori - 1998
Persistent link: https://www.econbiz.de/10000992542
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Stock price jumps and their impact on option valuation
Trautmann, Siegfried; Beinert, Michaela - 1994
Persistent link: https://www.econbiz.de/10000910708
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Hedging and Pricing Illiquid Options with Market Impacts
Saito, Taiga - 2016
In this paper, we consider hedging and pricing of illiquid options on an untradable underlying asset, where an … alternative instrument is used as a hedging instrument. We assume that the trade price of the hedging instrument is subject to … trading illiquid options, since the price shifts together with the liquidity costs affect the hedging performance. We set the …
Persistent link: https://www.econbiz.de/10013005775
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Quantification of feedback effects in FX options markets
Anderegg, Benjamin; Sornette, Didier; Ulmann, Florian … - 2019
Persistent link: https://www.econbiz.de/10012026522