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Simple binomial processes as diffusion approximations in financial models
Nelson, Daniel B.; Ramaswamy, Krishna - 1990
Persistent link: https://www.econbiz.de/10000811122
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Martingale densities for general asset prices
Schweizer, Martin - 1991
Persistent link: https://www.econbiz.de/10000825147
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Kernel estimators of integrated squared density derivatives in non-smooth cases
Es, A. J. van; Hoogstrate, André J. - 1993
Persistent link: https://www.econbiz.de/10000874692
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CAPM and option pricing with elliptically contoured distributions
Hamada, Mahmoud; Valdez, Emiliano - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 387-409
Persistent link: https://www.econbiz.de/10003713589
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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...
Persistent link: https://www.econbiz.de/10003727608
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Summary statistics of option-implied probability density functions and their properties
Lynch, Damien (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003649282
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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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The binomial pricing of options on futures contracts
Johnson, Robert S.; Zuber, Richard A.; Gandar, John M. - In: Journal of financial education 34 (2008) 2, pp. 59-87
Persistent link: https://www.econbiz.de/10003783740
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Marktorientierte Optionsbewertung und Optionshandel bei gespaltenem Zinssatz: eine dualitätstheoretisch gestützte Untersuchung des Einigungsbereichs für eine Kaufoption im einperio...
Mirschel, Stefan - In: Betriebswirtschaftliche Forschung und Praxis : BFuP 60 (2008) 6, pp. 538-555
Persistent link: https://www.econbiz.de/10003778456