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Predicting stock jumps and crashes using options

Andreou, Panayiotis C.; Han, Chulwoo; Li, Nan - In: The journal of futures markets 45 (2025) 10, pp. 1471-1490

Persistent link: https://www.econbiz.de/10015464898

Option valuation under no-arbitrage constraints with neural networks

Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374

Persistent link: https://www.econbiz.de/10012502485

It only takes a few moments to hedge options

Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David - In: Journal of economic dynamics & control 100 (2019), pp. 251-269

Persistent link: https://www.econbiz.de/10012130971

Flexible-forward pricing through Leisen-Reimer trees : implementation and performance comparison with traditional Markov chains

Giribone, Pier Giuseppe; Ligato, Simone - In: International journal of financial engineering 3 (2016) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10011577108

Canonical Representation Of Option Prices and Greeks with Implications for Market Timing

Cadogan, Godfrey - Volkswirtschaftliche Fakultät, … - 2010

We introduce a canonical representation of call options, and propose a solution to two open problems in option pricing theory. The first problem was posed by (Kassouf, 1969, pg. 694) seeking “theoretical substantiation” for his robust option pricing power law which eschewed assumptions about...

Persistent link: https://www.econbiz.de/10008564515