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Explicit approximations of multi-asset option prices including Greeks

Börger, Reik H. - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 314-329

Persistent link: https://www.econbiz.de/10010472815

Pricing and risk management of multi-assets financial instruments to natural disasters

Chang, Jui-Jane; Huang, Pao-Hsien; Wu, Ting-Pin - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 1, pp. 19-43

Persistent link: https://www.econbiz.de/10014444330

Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity

Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542

Persistent link: https://www.econbiz.de/10003769344

Inferring risk-averse probability distributions from option prices using implied binomial trees

Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Financial econometrics modeling : derivatives pricing, …, (pp. 35-52). 2011

Persistent link: https://www.econbiz.de/10008988015

Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions

Vincent-Humphreys, Rupert de; Noss, Joseph - 2012

Persistent link: https://www.econbiz.de/10009559811

An analytic approximation of the implied risk-neutral density of American multi-asset options

Arismendi Zambrano, Juan Carlos; Prokopczuk, Marcel - 2014

The price of a European option can be computed as the expected value of the payoff function under the risk-neutral measure. For American options and path-dependent options in general, this principle cannot be applied. In this paper, we derive a model-free analytical formula for the implied...

Persistent link: https://www.econbiz.de/10010532229