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Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs

Shokrollahi, Foad; Kılıçman, Adem; Magdziarz, Marcin - In: International journal of financial engineering 3 (2016) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011532750

What makes volatility smile? : an empirical investigation of implied volatility functions in Indian market

Inder, Shivani; Pasricha, J. S. - In: Business analyst : a refereed journal of Shri Ram … 36 (2015) 1, pp. 127-145

Persistent link: https://www.econbiz.de/10011533053

Uncertain volatility derivative model based on the polynomial chaos

Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63

Persistent link: https://www.econbiz.de/10011543102

Generalized BN-S stochastic volatility model for option pricing

SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011455400

On volatility smile and an investment strategy with out-of-the-money calls

Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125

Persistent link: https://www.econbiz.de/10011485897

Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models

Ho, Shu Wing; Lee, Alan J.; Marsden, Alastair - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 74-96

volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices … compared to historical volatility estimates sourced from IVolatility.com (“IVolatility”). Our evidence suggests use of the …

Persistent link: https://www.econbiz.de/10011555938

On the importance of the traders' rules for pricing options : evidence from intraday data

Kim, Sol; Lee, Changjun - In: Asia-Pacific journal of financial studies 43 (2014) 6, pp. 873-894

Persistent link: https://www.econbiz.de/10010476863

Variational solutions of the pricing PIDEs for European options in Lévy models

Eberlein, Ernst; Glau, Kathrin - In: Applied mathematical finance 21 (2014) 5/6, pp. 417-450

Persistent link: https://www.econbiz.de/10010500880

Options on troubled stock

Câmara, António; Popova, Ivilina; Simkins, Betty J. - In: The journal of futures markets 34 (2014) 7, pp. 637-657

Persistent link: https://www.econbiz.de/10010507943

Stylized patterns of implied volatility in India : a case study of NSE Nifty options

Shaikh, Imlak; Padhi, Puja - In: Journal of Indian business research 6 (2014) 3, pp. 231-254

Persistent link: https://www.econbiz.de/10010492684