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Year of publication
Subject
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Black-Scholes-Modell 1,963 Black-Scholes model 1,961 Optionspreistheorie 1,343 Option pricing theory 1,322 Option trading 692 Optionsgeschäft 692 Theorie 657 Theory 657 Volatility 623 Volatilität 622 Stochastischer Prozess 458 Stochastic process 454 Derivative 425 Derivat 423 Hedging 224 Portfolio selection 142 Portfolio-Management 142 CAPM 128 Estimation 117 Schätzung 117 Finanzmathematik 99 Index futures 89 Index-Futures 89 Börsenkurs 83 Share price 83 Option pricing 82 Mathematical finance 81 USA 78 United States 78 Monte-Carlo-Simulation 74 Statistical distribution 73 Statistische Verteilung 73 Monte Carlo simulation 69 Aktienoption 64 Yield curve 62 Zinsstruktur 62 Stock option 59 Estimation theory 58 Schätztheorie 58 Markov chain 56
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Online availability
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Free 538 Undetermined 477 CC license 27
Type of publication
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Article 1,277 Book / Working Paper 774 Other 1
Type of publication (narrower categories)
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Article in journal 1,109 Aufsatz in Zeitschrift 1,109 Graue Literatur 215 Non-commercial literature 215 Arbeitspapier 194 Working Paper 194 Aufsatz im Buch 97 Book section 97 Hochschulschrift 58 Thesis 49 Lehrbuch 48 Textbook 47 Aufsatzsammlung 13 Reprint 11 Forschungsbericht 9 Dissertation u.a. Prüfungsschriften 8 Handbook 7 Handbuch 7 Article 6 Collection of articles written by one author 6 Conference paper 6 Glossar enthalten 6 Glossary included 6 Konferenzbeitrag 6 Sammlung 6 Bibliografie enthalten 5 Bibliography included 5 CD-ROM, DVD 5 Collection of articles of several authors 4 Sammelwerk 4 Accompanied by computer file 3 Amtsdruckschrift 3 Bibliografie 3 Case study 3 Einführung 3 Elektronischer Datenträger als Beilage 3 Fallstudie 3 Government document 3 Systematic review 3 Übersichtsarbeit 3
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Language
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English 1,891 German 87 Undetermined 60 Spanish 5 French 3 Polish 3 Italian 2 Portuguese 2 Czech 1 Swedish 1
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Author
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Alghalith, Moawia 15 Lee, Cheng F. 15 Cui, Zhenyu 13 Madan, Dilip B. 13 Härdle, Wolfgang 11 Korn, Ralf 11 Jarrow, Robert A. 10 Alòs, Elisa 9 Carr, Peter 9 Câmara, António 9 Elliott, Robert J. 9 Frey, Rüdiger 9 Gikhman, Ilya I. 9 Jüngel, Ansgar 9 Singh, Vipul Kumar 9 Vanduffel, Steven 9 Wystup, Uwe 9 Zhu, Song-Ping 9 Ehrhardt, Matthias 8 Renault, Eric 8 Seydel, Rüdiger 8 Zanette, Antonino 8 Alexander, Carol 7 Chance, Don M. 7 Düring, Bertram 7 Fengler, Matthias R. 7 Franke, Günter 7 Goovaerts, Marc J. 7 Guidolin, Massimo 7 Jacquier, Antoine (Jack) 7 Kohlmann, Michael 7 Lee, Hangsuck 7 Schoutens, Wim 7 Stapleton, Richard C. 7 Andersen, Torben 6 Dhaene, Jan 6 Engle, Robert F. 6 Garcia, René 6 Günther, Michael 6 Jackwerth, Jens Carsten 6
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Institution
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National Bureau of Economic Research 4 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 3 University of Bonn, Germany 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 EconWPA 2 Ekonomiska forskningsinstitutet <Stockholm> 2 Johannes Gutenberg-Universität Mainz 2 Bonn Graduate School of Economics 1 Capital Markets Conference <UTI Institute of Capital Markets, Navi Mumbai> <1, 1997, Navi Muṃbaī> 1 Center for Economic Research <Tilburg> 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Centre for Analytical Finance <Århus> 1 Christian-Albrechts-Universität zu Kiel 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 ESCP-EAP European School of Management 1 Eberhard Karls Universität Tübingen 1 Econometrisch Instituut <Rotterdam> 1 Erasmus Research Institute of Management 1 Federal Reserve Bank of Chicago 1 Hochschule für Bankwirtschaft 1 Institut für Seeverkehrswirtschaft und Logistik 1 Institut für Wirtschaftsinformatik, Wirtschaftswissenschaftliche Fakultät 1 Institutt for Foretaksøkonomi <Bergen, Norwegen> 1 MASTER CONSULTORES 1 Society of Actuaries 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Springer Fachmedien Wiesbaden 1 Svenska Handelshögskolan <Helsinki> 1 Technische Hochschule Mittelhessen 1 UTI Institute of Capital Markets <Navi Muṃbaī> 1 Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen 1 University of British Columbia 1 University of Cambridge / Department of Applied Economics 1 University of Queensland / School of Economics 1 Universität Trier 1 Universität Zürich / Institut für Schweizerisches Bankwesen 1 Verlag Dr. Kovač 1 Weierstraß-Institut für Angewandte Analysis und Stochastik 1
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Published in...
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International journal of theoretical and applied finance 84 Applied mathematical finance 46 Computational economics 43 Mathematical finance : an international journal of mathematics, statistics and financial theory 42 The journal of futures markets 41 Finance and stochastics 34 The journal of computational finance 34 Quantitative finance 33 Review of derivatives research 29 The journal of derivatives : the official publication of the International Association of Financial Engineers 29 International journal of financial engineering 27 Journal of mathematical finance 24 Asia-Pacific financial markets 22 Finance research letters 22 Journal of banking & finance 19 The North American journal of economics and finance : a journal of financial economics studies 17 Risks : open access journal 15 Decisions in economics and finance : DEF ; a journal of applied mathematics 14 Journal of economic dynamics & control 14 The European journal of finance 13 European journal of operational research : EJOR 12 Journal of econometrics 12 Options : classic approaches to pricing and modelling 11 Research paper series / Swiss Finance Institute 11 Applied economics 10 Review of quantitative finance and accounting 10 CoFE discussion papers 9 The journal of derivatives : JOD 9 The review of financial studies 9 Annals of financial economics 8 Discussion paper / B 8 The journal of risk and insurance : the journal of the American Risk and Insurance Association 8 Advances in futures and options research : a research annual 7 Insurance / Mathematics & economics 7 International journal of financial markets and derivatives 7 International review of economics & finance : IREF 7 Journal of derivatives & hedge funds 7 Journal of risk and financial management : JRFM 7 Nonlinear models in mathematical finance : new research trends in option pricing 7 SFB 649 discussion paper 7
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Source
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ECONIS (ZBW) 1,945 RePEc 67 USB Cologne (EcoSocSci) 28 EconStor 6 BASE 4 Other ZBW resources 2
Showing 1 - 50 of 2,052
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Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh; Shahiki Tash, Mohammad Nabi - In: Iranian economic review : journal of University of Tehran 26 (2022) 2, pp. 369-388
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013365654
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Financial market disruption and investor awareness : the case of implied volatility skew
Siddiqi, Hammad - In: Quantitative finance and economics 6 (2022) 3, pp. 505-517
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013499509
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Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
El-Khatib, Youssef; Makumbe, Zororo S.; Vives, Josep - In: Computational management science 21 (2024) 1, pp. 1-28
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Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
Joseph, Benjamin; Loeper, Grégoire; Obłój, Jan - In: Quantitative finance 24 (2024) 11, pp. 1597-1620
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196948
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Pricing of discretely sampled arithmetic Asian options, under the Hull-White interest rate model
Kim, Bara; Kim, Jeongsim; Yoon, Hyungkuk; Lee, Jinyoung - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135005
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Valuing American options using multi-step rebate options
Lee, Hangsuck; Ha, Hongjun; Lee, Gaeun; Lee, Minha - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-18
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Spread option pricing under finite liquidity framework
Pirvu, Traian A.; Zhang, Shuming - In: Risks : open access journal 12 (2024) 11, pp. 1-14
This work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk approximation for computing the spread option price and its delta. The latter is needed since the liquidity impact is caused by the delta hedging of a large investor. Our main...
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Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model
Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24
We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015065971
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Extreme ATM skew in a local volatility model with discontinuity : joint density approach
Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202
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Black-Scholes 50 years later : has the outperformance of passive option strategies finally faded?
Kumiega, Andrew; Sterijevski, Greg; Wills, Eric - 2024
Slightly over fifty years ago, the Black-Scholes option pricing model revolutionized investing by enabling a shift from linear to non-linear payoff structures. Myron Scholes later published two papers documenting the performance of passive option strategies that outperformed the underlying index...
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Accurate delta hedging of european options using conformable calculus
Olmos, Andrés; Muriel, Nelson - In: EconoQuantum : Revista de Economía y Negocios 21 (2024) 1, pp. 59-69
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Effectiveness of deterministic option pricing models : new evidence from Nifty and Bank Nifty Index options
Singh, Vipul Kumar; Kumar, Pawan - In: The journal of asset management : a major new, … 25 (2024) 2, pp. 172-189
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
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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...
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Construction and hedging of equity index options portfolios
Wysocki, Maciej; Ślepaczuk, Robert - 2024
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Development of the black-scholes model for determining insurance premiums to mitigate the risk of disaster losses using the principles of mutual cooperation and regional economic growth
Purwandari, Titi; Hidayat, Yuyun; Sukono; Kalfin; … - In: Risks : open access journal 12 (2024) 7, pp. 1-21
The frequency and economic damage of natural disasters have increased globally over the last two decades due to climate change. This increase has an impact on the disaster insurance field, particularly in the calculation of premiums. Many regions have a shortcoming in employing insurance because...
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Pricing and hedging autocallable products by Markov chain approximation
Cui, Yeda; Li, Lingfei; Zhang, Gongqiu - 2024
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On regime-switching European option pricing
Kalovwe, Sebastian Kaweto; Mwaniki, Joseph Ivivi; … - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-19
The concern of this article is to derive a regime switching model that can be utilized to price European call options for a financial market that exhibits structural changes with time. The model is formulated based on the fact that the underlying asset process is described by a geometric...
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Quantum Uncertainty and the Black-Scholes Formula
Orrell, David - 2023
The publication of the Black-Scholes formula in 1973 appeared for the first time to put the pricing of financial options onto a rational and objective basis. While earlier option-pricing models relied on a subjective estimate of the stock’s uncertain future growth rate, the Black-Scholes model...
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On the Implied Volatility Skew Outside the At-the-Money Point
Azzone, Michele; Torricelli, Lorenzo - 2023
The small-maturity implied volatility of an asset pricing model is fully determined by the asymptotics of traded option prices, and thus model-free expressions are available. We show how by sharpening one such expression it is possible to derive a general formula for the leading order of the...
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Pricing American Options using Monte Carlo Simulation
Tshehla, Godfrey - 2023
Numerical methods such as binomial and finite difference methods can be used to price options however the problem is when the options have early exercise features. In this research project, we investigate the effectiveness and accuracy of Monte Carlo methods in pricing American options. We...
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Mixture of Normalizing Flows for European Option Pricing
Yang, Yongxin; Hospedales, Timothy M. - 2023
We present a mixture of normalizing flows (MoNF) approach to European option pricing with guarantees that its estimations are free from static arbitrage. In contrast to many existing methods that meet economic rationality constraints (e.g., non-arbitrage) by introducing auxiliary losses, our...
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Learning The Pricing Kernel : Applications To Option Pricing
Bloch, Daniel Alexandre - 2023
We seek to estimate a portfolio of option prices in an entirely data driven way, at any future time, for trading and risk management purposes in a model independent way. We do not know the model driving the dynamics of the actual stock prices, but only observe discretely their evolution in the...
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A generalized model for pricing financial derivatives consistent with efficient markets hypothesis : a refinement of the black-scholes model
Lindgren, Jussi - In: Risks : open access journal 11 (2023) 2, pp. 1-5
This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate. An argument is put forward, based on the efficient market hypothesis, why a proper risk-adjusted discount rate should...
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The pricing kernel in options
Heston, Steven L.; Jacobs, Kris; Kim, Hyung Joo - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014385050
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The log-moment formula for implied volatility
Raval, Vimal; Jacquier, Antoine - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1146-1165
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Varieties of volatility
Lee, Benjamin - In: Finance and society 9 (2023) 3, pp. 37-57
This article explores the quantitative and qualitative dimensions of volatility and their implications for cultural analysis in a range of fields. From quantitative finance, it takes the notion of 'delta-hedging', the suspension or neutralization of directionality to get access to volatility,...
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On regime-switching European option pricing
Kalovwe, Sebastian Kaweto; Mwaniki, Joseph Ivivi; … - In: Cogent economics & finance 11 (2023) 1, pp. 1-19
The concern of this article is to derive a regime switching model that can be utilized to price European call options for a financial market that exhibits structural changes with time. The model is formulated based on the fact that the underlying asset process is described by a geometric...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500787
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Self-pricing options
Edelman, David - 2023
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Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522
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Valuation of standard call options using the Euler-Maruyama method with strong approximation
Suescún-Díaz, Daniel; Girón, Luis Eduardo - In: Computational economics 61 (2023) 4, pp. 1545-1560
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Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong; Fang, Shaomei; He, Yong - In: Computational economics 61 (2023) 4, pp. 1681-1705
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A deep learning based numerical PDE method for option pricing
Wang, Xiang; Li, Jessica; Li, Jichun - In: Computational economics 62 (2023) 1, pp. 149-164
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Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar; Zhang, Hailiang; Kanwal, Samra; … - In: International journal of financial engineering 10 (2023) 1, pp. 1-14
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Simulation of Arbitrage-Free Implied Volatility Surfaces
Cont, Rama; Vuletić, Milena - 2023
We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach...
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Joint Dynamics For The Underlying Asset and Its Implied Volatility Surface : A New Methodology For Option Risk Management
Francois, Pascal; Galarneau-Vincent, Rémi; Gauthier, … - 2023
This paper develops a dynamic joint model of the implied volatility (IV) surface and its underlying asset, impervious to arbitrage and quick to estimate. It combines an asymptotically well-behaved, parametric IV surface representation with a two-component variance, and non-Gaussian asymmetric...
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Analytical Solutions of Time Space Fractional Black-Scholes Option Pricing Model with Their Applications
Ahmad, Manzoor; Mishra, Dr. Rajshree; Jain, Prof. Renu - 2023
In recent years fractional partial differential equations and their solutions through analytical methods is a dynamic and imperative research area. In this context finding the exact solution of fractional partial differential equations by employing variant tactics has been the pivotal region of...
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A Note on Relaxing the Black-Scholes Assumptions without Changing the Price Formula
Alghalith, Moawia - 2023
We overcome the key limitations of the Black-Scholes model. In doing so, we provide an explicit, simple price formula for the European option that is identical to the classical Black-Scholes formula. Moreover, we do not need to know the distribution of the returns/price
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Pricing multidimensional American options
Algiardi, Elettra; Aliardi, Rossella - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-10
A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are many applications for the valuation of...
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The valuation of barrier options under a threshold rough Heston model
Tong, Kevin Z.; Liu, Allen - In: Journal of management science and engineering 8 (2023) 1, pp. 15-31
In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional kernel with the CIR process. The new model...
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Long-term option pricing with a lower reflecting barrier
Thomas, Guy - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 2, pp. 358-384
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Pricing Kernels and risk Premia implied in bitcoin options
Winkel, Julian; Härdle, Wolfgang - In: Risks : open access journal 11 (2023) 5, pp. 1-18
Bitcoin Pricing Kernels (PKs) are estimated using a novel data set from Deribit, the leading Bitcoin options exchange. The PKs, as the ratio between risk-neutral and physical density, dynamically reflect the change in investor preferences. Thus, the PKs improve the understanding of investor...
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On the stochastic volatility in the generalized Black-Scholes-Merton model
Ivanov, Roman V. - In: Risks : open access journal 11 (2023) 6, pp. 1-23
This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions. Together with it, we make the assumption that the volatility, the drift, and the interest rate...
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A New Price of the Arithmetic Asian Option : A Simple, Explicit Formula
Alghalith, Moawia - 2023
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Analytic RFR Option Pricing with Smile and Skew
Turfus, Colin; Romero-Bermudez, Aurelio - 2023
We extend the short rate model of Turfus and Romero-Bermúdez [2021] to facilitate accurate arbitrage-free analytic pricing of SOFR, SONIA or ESTR caplets, i.e. options on backward-looking compounded rates payments, in a manner consistent with the smile and skew levels observed in the market....
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Smiles in delta
Mingone, Arianna - 2023
Fukasawa introduced in [Fukasawa, Math Financ, 2012] two necessary conditions for no butterfly arbitrage which require that the $d_1$ and $d_2$ functions of the Black-Scholes formula have to be decreasing. In this article we characterize the set of smiles satisfying these conditions, using the...
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Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169
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0DTE Option Pricing
Bandi, Federico M.; Fusari, Nicola; Renò, Roberto - 2023
The market for ultra short-term (zero days-to-expiry or 0DTE) options has grown exponentially over the last few years. In 2023, daily volume in 0DTEs reached over 45% of overall daily options volume. After briefly describing this exploding new market, we present a novel pricing formula designed...
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Options Are Also Options on Options : How to Smile With Black-Scholes
Mingone, Arianna; Martini, Claude - 2023
We observe that a European Call option with strike $L K$ can be seen as a Call option with strike $L-K$ on a Call option with strike $K$. Under no arbitrage assumptions, this yields immediately that the prices of the two contracts are the same, in full generality. We study in detail the...
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Valuing American Options Using Multi-Step Barrier Derivatives with a Rebate
Lee, Hangsuck; Ha, Hongjun; Lee, Minha; Lee, Gaeun - 2023
Determining optimal exercise boundaries has been central to pricing American options. Ingersoll (1998) offers an alternative to approximating option prices using simple barrier derivatives. Using pricing formulas for multi-step barrier options with a rebate, we generalize it to value American...
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