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Nonparametric predictive inference for European option pricing based on the binomial tree model
He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708
Persistent link: https://www.econbiz.de/10012214368
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The effectiveness of a predictor-corrector technique in European currency option valuation
Heo, Sangwoo; Yang, Jinsuk; Lim, SeungCheol; … - In: Global business and finance review 24 (2019) 4, pp. 1-7
Persistent link: https://www.econbiz.de/10012161859
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A novel method for arbitrage-free option surface construction
Orosi, Greg - In: Annals of financial economics 14 (2019) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10012226655
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An accurate analytical approximation for the price of a European-style arithmetic Asian option
Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - 2003
Persistent link: https://www.econbiz.de/10001769796
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Non-parametric method for European option bounds
Lin, Hsuan-chu; Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 38 (2012) 1, pp. 109-129
Persistent link: https://www.econbiz.de/10009507969
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The simulation of European call options' sensitivity based on black-scholes option formula
Cui, Yujie; Yu, Baoli - In: Journal of mathematical finance 2 (2012) 3, pp. 264-268
Persistent link: https://www.econbiz.de/10009711970
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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Closed-Form Interpolation-Based Formulas for European Call Options Written on Defaultable Assets
Orosi, Greg - 2015
In this paper, we derive closed-form, interpolation-based expressions for European call options written on defaultable assets. Our results are based on the work of Henderson at al. (2007), who derive formulas that incorporate standard static no-arbitrage restrictions, and Orosi (2014) who...
Persistent link: https://www.econbiz.de/10013031280
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The Bitcoin options market : a first look at pricing and risk
Jalan, Akanksha; Matkovskyy, Roman; Aziz, Saqib - In: Applied economics 53 (2021) 17, pp. 2026-2041
Persistent link: https://www.econbiz.de/10012500934
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Pricing European options under a diffusion model with psychological barriers and leverage effect
Song, Shiyu; Wang, Guanying; Wang, Yongjin - In: The European journal of finance 26 (2020) 12, pp. 1184-1206
Persistent link: https://www.econbiz.de/10012264954