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Niederstätter, Florian - 2014

This paper introduces an option pricing algorithm based on non-orthogonal series expansion methods. More precisely, Gabor frame decomposition is used to split the risk neutral option pricing formula into the sum of two inner products that can be evaluated efficiently by means of Parseval's...

Persistent link: https://www.econbiz.de/10013054505

An option-based approach to measuring disclosure asymmetry

Smith, Kevin - In: The accounting review : a publication of the American … 98 (2023) 4, pp. 373-403

Persistent link: https://www.econbiz.de/10014340501

Subleading correction to the Asian options volatility in the black-scholes model

Pirjol, Dan - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-19

Persistent link: https://www.econbiz.de/10014365668

A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives

Kim, Donghyun; Ha, Mijin; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: The quarterly review of economics and finance 97 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015188448

Option pricing and local volatility surface by physics-informed neural network

Bae, Hyeong-Ohk; Kang, Seunggu; Lee, Muhyun - In: Computational economics 64 (2024) 5, pp. 3143-3159

Persistent link: https://www.econbiz.de/10015144116

A recombining lattice option pricing model that relaxes the assumption of lognormality

Ji, Dasheng; Brorsen, Wade - In: Review of derivatives research 14 (2011) 3, pp. 349-367

Persistent link: https://www.econbiz.de/10009349984

Hedging European derivatives with the polynomial variance swap under uncertain volatility environments

Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505

Persistent link: https://www.econbiz.de/10009269373

Model-free implied volatility : from surface to index

Fukasawa, Masaaki; Ishida, I.; Maghrebi, N.; Oya, Kosuke; … - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 433-463

Persistent link: https://www.econbiz.de/10009269385

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

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585

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