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On pricing options with stressed-beta in a reduced form model

Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011414105

Option pricing with a dynamic fat-tailed model

Aboura, Sofiane; Valeyre, Sebastien; Wagner, Niklas F. - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 131-155

Persistent link: https://www.econbiz.de/10010462976

Option pricing : very simple formulas

Alghalith, Moawia - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 71-73

Persistent link: https://www.econbiz.de/10010463001

A multivariate stochastic unit root model with an application to derivative pricing

Lieberman, Offer; Phillips, Peter C. B. - 2014

Persistent link: https://www.econbiz.de/10010464140

Instalment options : a closed-form solution and the limiting case

Griebsch, Susanne; Kühn, Christoph; Wystup, Uwe - 2007

In Foreign Exchange Markets Compound options (options on options) are traded frequently. Instalment options generalize the concept of Compound options as they allow the holder to prolong a Vanilla Call or Put option by paying instalments of a discrete payment plan. We derive a closed-form...

Persistent link: https://www.econbiz.de/10011293933