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A note on options and bubbles under the CEV model : implications for pricing and hedging

Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272

Persistent link: https://www.econbiz.de/10012303226

Option pricing and hedging for discrete time regime-switching models

Rémillard, Bruno; Hocquard, Alexandre; Lamarre, Hugo; … - In: Modern economy 8 (2017) 8, pp. 1005-1032

Persistent link: https://www.econbiz.de/10011748340

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles

Carr, Peter - 2011

The construction of martingales with given marginal distributions at given times is a recurrent problem in financial mathematics. From a theoretical point of view, this problem is well-known as necessary and sufficient conditions for the existence of such martingales have been described....

Persistent link: https://www.econbiz.de/10013132624