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Pricing and hedging American options analytically : a perturbation method

Zhang, Jin E.; Li, Tiecheng - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 59-87

Persistent link: https://www.econbiz.de/10003955680

A model of stock option prices

Yang, Zhongjin; Yang, Cassidy - In: International journal of financial markets and derivatives 2 (2011) 4, pp. 288-297

Persistent link: https://www.econbiz.de/10009528840

The information content of alternate implied volatility models : case of Indian markets

Kumar, A. Vinay; Jaiswal, Shikha - In: Journal of emerging market finance 12 (2013) 3, pp. 293-321

Persistent link: https://www.econbiz.de/10010360587

The information content of option-based forecasts of volatility : evidence from the Italian stock market

Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546

Persistent link: https://www.econbiz.de/10010198265

Pricing a European option in a black-scholes quanto market when stock price is a semimartingale

Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303

Persistent link: https://www.econbiz.de/10011438535

The pricing kernel density : the case of the information that did not bark

Sala, Carlo; Barone-Adesi, Giovanni - 2015

Persistent link: https://www.econbiz.de/10011506353

Does the pricing kernel anomaly reflect forward looking beliefs?

Sala, Carlo - 2015

We propose a nonparametric Bayesian approach for the estimation of the pricing kernel. Historical stock returns and option market data are combined through the Dirichlet Process (DP) to construct an option-adjusted physical measure. The precision parameter of the DP process is calibrated to the...

Persistent link: https://www.econbiz.de/10011506354