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Closed-form expansions of discretely monitored Asian options in diffusion models
Cai, Ning; Li, Chenxu; Shi, Chao - In: Mathematics of operations research 39 (2014) 3, pp. 789-822
Persistent link: https://www.econbiz.de/10010402956
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A simple and reliable way to compute option-based risk-neutral distributions
Malz, Allan Martin - 2014
This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style guidance through the estimation process. The technique is robust and avoids violations of option no-arbitrage...
Persistent link: https://www.econbiz.de/10010404081
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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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An option pricing analysis of exotic bonus certificates : the case of Bonus Certificates PLUS
Hernández, Rodrigo; Liu, Pu - In: Theoretical economics letters 4 (2014) 5, pp. 331-340
Persistent link: https://www.econbiz.de/10010422847
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Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework
Nteumagné, B. F.; Pindza, E.; Maré, E. - In: Journal of mathematical finance 4 (2014) 1, pp. 35-46
Persistent link: https://www.econbiz.de/10010422895
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American options with gradual exercise under proportional transaction costs
Roux, Alet; Zastawniak, Tomasz - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10010498817
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An explicit analytic formula for pricing barrier options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37
Persistent link: https://www.econbiz.de/10010500699
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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
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Option pricing with transaction costs and stochastic interest rate
SenGupta, Indranil - In: Applied mathematical finance 21 (2014) 5/6, pp. 399-416
Persistent link: https://www.econbiz.de/10010500884
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Options on troubled stock
Câmara, António; Popova, Ivilina; Simkins, Betty J. - In: The journal of futures markets 34 (2014) 7, pp. 637-657
Persistent link: https://www.econbiz.de/10010507943