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0DTE Option Pricing
Bandi, Federico M.; Fusari, Nicola; Renò, Roberto - 2023
The market for ultra short-term (zero days-to-expiry or 0DTE) options has grown exponentially over the last few years. In 2023, daily volume in 0DTEs reached over 45% of overall daily options volume. After briefly describing this exploding new market, we present a novel pricing formula designed...
Persistent link: https://www.econbiz.de/10014348685
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Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling
Westphalen, Michael - 2002
This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.
Persistent link: https://www.econbiz.de/10005843306
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Implied volatility of foreign exchange options: Is it worth tracking?
Gereben, Áron; Pintér, Klára - 2005
linked to the simplifying assumptions of the Black-Scholes option pricing model. Our empirical results show that forint …
Persistent link: https://www.econbiz.de/10010322417
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Worst Case Pricing of Rainbow Options
Topper, Jürgen - 2001
We will present a model to compute a lower bound for the price of this option. The model, represented by a non …
Persistent link: https://www.econbiz.de/10005840941
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On the use of numeraires in option pricing
Benninga, Simon; Björk, Tomas; Wiener, Zvi - 2001
In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a …
Persistent link: https://www.econbiz.de/10010281218
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Evaluation of options using the Monte Carlo method and the entropy of information
Brătian, Vasile - In: Expert journal of economics 6 (2018) 2, pp. 35-43
of the option. The underlying asset used in our analyses is the share of Compa SA. Through Monte Carlo simulations …, scenarios are created on the random evolution of the underlying asset, and the valuation of the option on the underlying asset …
Persistent link: https://www.econbiz.de/10012062932
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Einführung in die Optionspreisbestimmung
Cremers, Heinz - 1999
Das Arbeitspapier behandelt die verschiedenen Möglichkeiten zur Optionspreisbestimmung. Es beginnt mit einer Abhandlung der theoretischen Grundlagen und stellt danach unterschiedliche Modelle dar, bspw. Black-Scholes-Modell; Cox-Ross-Rubinstein-Modell usw.
Persistent link: https://www.econbiz.de/10005840609
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Corrections in Heston model derivations for bond options
Mandal, Satrajit; Bhattacharya, Sujoy - In: International journal of bonds and derivatives 4 (2018) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10012253419
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Testing efficiency of the variables in black scholes option pricing model : evidence from Indian derivatives market
Inder, Shivani - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 223-230
Persistent link: https://www.econbiz.de/10011622303
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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248