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Pricing Asian and basket options via Taylor expansion

Ju, Nengjiu - In: The journal of computational finance 5 (2002) 3, pp. 79-103

Persistent link: https://www.econbiz.de/10001695286

An approximate formula for pricing American options

Ju, Nengjiu; Zhong, Rui - In: The journal of derivatives : the official publication … 7 (2000) 2, pp. 31-40

Persistent link: https://www.econbiz.de/10001497763

Fourier transformation and the pricing of average-rate derivatives

Ju, Nengjiu; Zhong, Rui - In: Review of derivatives research 9 (2006) 3, pp. 187-212

Persistent link: https://www.econbiz.de/10003608138

Underreaction, overreaction, and increasing misreaction to information in the options market

Poteshman, Allen M. - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 851-876

Persistent link: https://www.econbiz.de/10001593005

Unusual option market activity and the terrorist attacks of September 11, 2001

Poteshman, Allen M. - In: The journal of business : B 79 (2006) 4, pp. 1703-1726

Persistent link: https://www.econbiz.de/10003378406

The information of option volume for future stock prices

Pan, Jun; Poteshman, Allen M. - 2004

Persistent link: https://www.econbiz.de/10002485370

Stock price clustering on option expiration dates

Xiaoyan Ni, Sophie; Pearson, Neil D.; Poteshman, Allen M. - In: Journal of financial economics 78 (2005) 1, pp. 49-87

Persistent link: https://www.econbiz.de/10003127770

Demand-Based Option Pricing

Garleanu, Nicolae - 2010

We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount...

Persistent link: https://www.econbiz.de/10013150817

The information in option volume for future stock prices

Pan, Jun; Poteshman, Allen M. - In: The review of financial studies 19 (2006) 3, pp. 871-908

Persistent link: https://www.econbiz.de/10003358394

Demand-based option pricing

Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M. - 2006

Persistent link: https://www.econbiz.de/10003294309