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Hermite polynomial based expansion of European option prices

Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177

Persistent link: https://www.econbiz.de/10010372651

A sharp approximation for ATM-forward option prices and implied volatilites

Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011532749

Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

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

Robust option pricing

Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853

Persistent link: https://www.econbiz.de/10010411468

Does model misspecification matter for hedging? : a computational finance experiment based approach

Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011403136

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Lundbeck Option Call Option Contract Using the Brownian Motion

Guirguis, Michel - 2019

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using … the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black … and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility …

Persistent link: https://www.econbiz.de/10012890737

CVA and Vulnerable Options in Stochastic Volatility Models

Alos, Elisa - 2019

determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …

Persistent link: https://www.econbiz.de/10012865678

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