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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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Endogenous option pricing
Gamba, Andrea; Saretto, Alessio - 2022
Persistent link: https://www.econbiz.de/10013170529
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A note on options and bubbles under the CEV model : implications for pricing and hedging
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272
Persistent link: https://www.econbiz.de/10012303226
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About long-term cross-currency Bermuda swaption pricing
Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262
Persistent link: https://www.econbiz.de/10012272028
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From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
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Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: Asia-Pacific financial markets 24 (2017) 4, pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
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Option pricing and hedging for discrete time regime-switching models
Rémillard, Bruno; Hocquard, Alexandre; Lamarre, Hugo; … - In: Modern economy 8 (2017) 8, pp. 1005-1032
Persistent link: https://www.econbiz.de/10011748340
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Pricing cryptocurrency options
Hou, Ai Jun; Wang, Weining; Chen, Cathy Y. H.; Härdle, … - In: Journal of financial econometrics 18 (2020) 2, pp. 250-279
Persistent link: https://www.econbiz.de/10012232938
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Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.; Melick, William Robert; Thomas, … - In: Quantitative finance 23 (2023) 12, pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468