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Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Economics letters 145 (2016), pp. 225-229

Persistent link: https://www.econbiz.de/10011618437

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Mittnik, Stefan - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10012153100

Option pricing in markets with informed traders

Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan V.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-32

Persistent link: https://www.econbiz.de/10012496747

Option pricing in an investment risk-return setting

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638

Persistent link: https://www.econbiz.de/10012875529

An empirical examination of the return distribution characteristics of agency mortgage pass-through securities

Fabozzi, Frank J.; Racheva-Iotova, Borjana; Stoyanov, … - In: Applied financial economics 16 (2006) 15, pp. 1085-1094

Persistent link: https://www.econbiz.de/10003385567

Option Pricing in an Investment Risk-Return Setting

Kim, Young Shin - 2019

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...

Persistent link: https://www.econbiz.de/10012865720