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Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities

Guterding, Daniel - In: Risks : open access journal 11 (2023) 5, pp. 1-24

We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which … accuracy of our method. In order to allow for the treatment of realistic inputs that may contain arbitrage, we reformulate the … input prices and the arbitrage-free prices generated by our method. To further stabilize the method in the presence of noisy …

Persistent link: https://www.econbiz.de/10014332042

Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10010233614

Perpetual options on multiple underlyings

Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200

Persistent link: https://www.econbiz.de/10010352003

Asymptotic expansion formula of option price under multifactor Heston model

Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396

Persistent link: https://www.econbiz.de/10010511560

Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models

Pajor, Anna - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 189-211

Persistent link: https://www.econbiz.de/10011742315

Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics

Hu, Jun; Kanniainen, Juho - In: Finance research letters 14 (2015), pp. 1-10

Persistent link: https://www.econbiz.de/10011552564

Equilibrium option pricing : a Monte Carlo approach

Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145

Persistent link: https://www.econbiz.de/10011553023

A comparison of pricing and hedging performances of equity derivatives models

Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137

Persistent link: https://www.econbiz.de/10011848262

Matched asymptotic expansions in financial engineering

Howison, Sam - 2005

Persistent link: https://www.econbiz.de/10009581648

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

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