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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
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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
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Capital structure effects on the prices of equity call options
Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
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A comparison of pricing and hedging performances of equity derivatives models
Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137
Persistent link: https://www.econbiz.de/10011848262
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Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Romo, Jacinto Marabel - In: Review of derivatives research 19 (2016) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10011742281
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Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos; Panz, Sven; Zagst, Rudi - In: The journal of computational finance 24 (2020) 2, pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
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American put options with regime-switching volatility
Jang, Bong-Gyu; Koo, Hyeng-keun - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 86-115
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the … option price can be expressed as the sum of two components: the price of a European put option and the premium associated … with the early exercise privilege. Our analysis demonstrates that, under these conditions, the perpetual put option …
Persistent link: https://www.econbiz.de/10015054085
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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
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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
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Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Applied mathematical finance 24 (2017) 5/6, pp. 547-574
Persistent link: https://www.econbiz.de/10011815299