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An efficient variance reduction-based simulation algorithm for pricing arithmetic Asian options

Mehrdoust, Farshid; Noorani, Idin - In: Annals of financial economics 15 (2020) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10012642935

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...

Persistent link: https://www.econbiz.de/10012484130

New modifications of express certificates on two assets

Soltes, Vincent; Timkova, Monika; Gicova, Veronika - In: Montenegrin journal of economics 15 (2019) 4, pp. 113-129

Persistent link: https://www.econbiz.de/10012264628

Gold price risk management through Nova 3 option strategy created by barrier options

Šoltés, Michal; Harčariková, Monika - In: Investment management and financial innovations 13 (2016) 1, pp. 49-60

Persistent link: https://www.econbiz.de/10011630674

Volatility risk structure for options depending on extrema

Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122

Persistent link: https://www.econbiz.de/10011848359

Pricing barrier options with discrete dividends

Gibson, D. Jason; Wingo, Aaron - In: International journal of financial engineering 4 (2017) 4, pp. 1-12

Persistent link: https://www.econbiz.de/10011807099

The evaluation of derivatives of double barrier options of the Bessel processes by methods of spectral analysis

Burtnyak, Ivan; Malytska, Anna - In: Investment management and financial innovations 14 (2017) 3, pp. 126-134

Persistent link: https://www.econbiz.de/10011867234

Managing the equity risk using Short Put Ladder strategy by barrier options

Timková, Monika; Šoltés, Michal - In: Investment management and financial innovations 16 (2019) 4, pp. 133-145

Persistent link: https://www.econbiz.de/10012177653

Analysis of using options to the express certificates formation

Harčariková, Monika; Bánociová, Anna - In: Economic research 28 (2015) 1, pp. 354-366

Persistent link: https://www.econbiz.de/10012220737

Pricing multiasset time-varying double-barrier options with time-dependent parameters

Lyuu, Yuh-dauh; Zhang, Yu-Quan - In: The journal of futures markets 43 (2023) 3, pp. 404-434

Persistent link: https://www.econbiz.de/10014293107