Similar Search Results

Volatility analysis of Shanghai composite index and financial crises

Sheraz, Muhammad; Breda, Vasile - 2016

Persistent link: https://www.econbiz.de/10013164574

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

From stochastic dominance to Black-Scholes : an alternative option pricing paradigm

Oancea, Michael; Perrakis, Stylianos - In: Risk and decision analysis 5 (2014) 2/3, pp. 99-112

Persistent link: https://www.econbiz.de/10011285063

Finite difference methods for the non-linear Black-Scholes-Barenblatt equation

Budke, Albrecht - 2013

Persistent link: https://www.econbiz.de/10010528523

Realizing smiles : options pricing with relized volatility

Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - In: Journal of financial economics 107 (2013) 2, pp. 284-304

Persistent link: https://www.econbiz.de/10009719740

Assessing the quality of volatility estimators via option pricing

Sanfelici, Simona; Uboldi, Adamo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 103-124

Persistent link: https://www.econbiz.de/10010347332

Generalized BN-S stochastic volatility model for option pricing

SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011455400

Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models

Ho, Shu Wing; Lee, Alan J.; Marsden, Alastair - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 74-96

volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices … compared to historical volatility estimates sourced from IVolatility.com (“IVolatility”). Our evidence suggests use of the …

Persistent link: https://www.econbiz.de/10011555938

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

Variational solutions of the pricing PIDEs for European options in Lévy models

Eberlein, Ernst; Glau, Kathrin - In: Applied mathematical finance 21 (2014) 5/6, pp. 417-450

Persistent link: https://www.econbiz.de/10010500880