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Pricing American options under Levy jump models : a multidimensional transform method
Beliaeva, Natalia A.; Chen, Ye; Nawalkha, Sanjay K.; … - In: The journal of derivatives : JOD 31 (2023) 2, pp. 9-35
Persistent link: https://www.econbiz.de/10015198742
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A two-factor contingent convertible bond pricing model with calibrated option-adjusted spread
Hyatt, Matthew; Davis, Tom P.; Liu, Xi - In: The journal of derivatives : JOD 31 (2023) 2, pp. 36-52
Persistent link: https://www.econbiz.de/10015198754
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Measuring information flows in option markets : a relative entropy approach
André, Eric; Schneider, Lorenz; Tavin, Bertrand - In: The journal of derivatives : JOD 31 (2023) 2, pp. 73-99
Persistent link: https://www.econbiz.de/10015198761
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The performance of jump models to price commodity options
Aka, Constant; Gagnon, Marie-Hélène; Power, Gabriel J. - In: The journal of derivatives : JOD 31 (2023) 2, pp. 101-127
Persistent link: https://www.econbiz.de/10015198764
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Modeling and empirical analysis of option pricing with transaction costs : a sub-mixed fractional Brownian motion approach
Cheng, Zhiyong; Mao, Xiaoli; Ma, Aiqin - In: The journal of derivatives : JOD 32 (2024) 2, pp. 56-71
Persistent link: https://www.econbiz.de/10015203203
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GPU-Accelerated American option pricing : the case of the Longstaff-Schwartz Monte Carlo model
Li, Leon Xing; Chen, Ren-Raw; Fabozzi, Frank J. - In: The journal of derivatives : JOD 32 (2024) 2, pp. 72-101
Persistent link: https://www.econbiz.de/10015203208
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A time-varying, feature-rearranged convolutional neural network for option pricing
Wei, Xiangyu; Cheng, Rui; Zhao, Jingmei; Qing, Li - In: The journal of derivatives : JOD 32 (2024) 2, pp. 103-123
Persistent link: https://www.econbiz.de/10015203463
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Income enhancement with options
Miller, Megan; Jacobsen, Brian; Vree, Martijn de - In: The journal of derivatives : JOD 29 (2022) 4, pp. 153-167
Persistent link: https://www.econbiz.de/10014231061
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Simplified option price derivations
Shimko, David C. - In: The journal of derivatives : JOD 29 (2022) 5, pp. 9-19
Persistent link: https://www.econbiz.de/10014231070
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Robust and nearly exact option pricing with bilateral gamma processes
Aguilar, Jean-Philippe; Kirkby, Justin - In: The journal of derivatives : JOD 30 (2022) 1, pp. 8-31
Persistent link: https://www.econbiz.de/10014231087