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Analytic formula for option margin with liquidity costs under dynamic delta hedging

Lee, Kyungsub; Seo, Byoung Ki - In: Applied economics 53 (2021) 29, pp. 3391-3407

Persistent link: https://www.econbiz.de/10012589463

Semi-robust replication of barrier-style claims on price and volatility

Carr, Peter; Lee, Roger; Lorig, Matthew - In: Applied mathematical finance 28 (2021) 6, pp. 534-559

Persistent link: https://www.econbiz.de/10013411770

Bounds on the value of barrier options with curved boundaries

Thompson, G. W. P. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001736168

Fast narrow bounds on the value of Asian options

Thompson, G. W. P. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001736170

On the equivalence of floating and fixed-strike Asian options

Henderson, Vicky; Wojakowski, Rafa L. - 2001

Persistent link: https://www.econbiz.de/10009581665

Evaluation of options using the Monte Carlo method and the entropy of information

Brătian, Vasile - In: Expert journal of economics 6 (2018) 2, pp. 35-43

In the present paper, there are presented, theoretical and applicative, two issues: the evaluation of the European options using the Monte Carlo method and the measurement of the entropy of information for the price of the underlying asset of the option. The underlying asset used in our analyses...

Persistent link: https://www.econbiz.de/10012062932

Multi-step double barrier options

Lee, Hangsuck; Jeong, Himchan; Lee, Minha - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013457467

Valuation of piecewise linear barrier options

Lee, Hangsuck; Ha, Hongjun; Lee, Minha - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013186470

Multi-step reflection principle and barrier options

Lee, Hangsuck; Lee, Gaeun; Song, Seongjoo - In: The journal of futures markets 42 (2022) 4, pp. 692-721

Persistent link: https://www.econbiz.de/10013187581

Min-max multi-step barrier options and their variants

Lee, Hangsuck; Lee, Gaeun; Song, Seongjoo - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014484160