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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

On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726

A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes

Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177

Persistent link: https://www.econbiz.de/10011846254

The barrier binary options

Gao, Min; Wei, Zhenfeng - In: Journal of mathematical finance 10 (2020) 1, pp. 140-156

Persistent link: https://www.econbiz.de/10012545572

Time-discrete hedging of down-and-out puts with overnight trading gaps

Baule, Rainer; Rosenthal, Philip - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-20

stochastic volatility and jumps are present. …

Persistent link: https://www.econbiz.de/10012813892

Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study

Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95

categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation … method is outperforming when the volatility is lower, while the Black-Sholes model and the Binomial model are outperforming …

Persistent link: https://www.econbiz.de/10012115106