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Pricing American options when asset prices jump

Chockalingam, Arunachalam; Muthuraman, Kumar - In: Operations research letters 38 (2010) 2, pp. 82-86

Persistent link: https://www.econbiz.de/10003961602

Calibrating arbitrage free implied volatility surface with embedded put-call parity

Dutta, Tridibesh; Ghosh, Alankar - In: Decision 37 (2010) 1, pp. 57-72

Persistent link: https://www.econbiz.de/10008657235

Exotic derivatives under stochastic volatility models with jumps

Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Advanced mathematical methods for finance, (pp. 455-508). 2011

Persistent link: https://www.econbiz.de/10008991275

A jump-diffusion approach to modelling vulnerable option pricing

Xu, Weidong; Xu, Weijun; Li, Hongyi; Xiao, Weilin - In: Finance research letters 9 (2012) 1, pp. 48-56

Persistent link: https://www.econbiz.de/10009575333

Collateral Smile

Leippold, Markus; Su, Lujing - 2011

prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …

Persistent link: https://www.econbiz.de/10009375107

Can standard preferences explain the prices of out-of-the-money S&P 500 put options?

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2011

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general …. Further, the model generates a steep shift in the implied volatility 'smirk' for S&P 500 options after the 1987 crash. This … integrated. -- Volatility Smile ; Volatility Smirk ; Implied Volatility ; Option Pricing ; Portfolio Insurance ; Market Risk …