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Did option prices predict the ERM crises?

Mizrach, Bruce Marshall - 1996

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

Persistent link: https://www.econbiz.de/10011577049

A functional analysis approach to the static replication of European options

Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew - In: Quantitative finance 21 (2021) 4, pp. 637-655

Persistent link: https://www.econbiz.de/10012483843

Pricing and Hedging of Asian Options : Quasi-Explicit Solutions via Malliavin Calculus

Yang, Zhaojun - 2013

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and...

Persistent link: https://www.econbiz.de/10013095807

Modeling volatility smile : empirical evidence from India

Singh, Vipul Kumar - In: Journal of derivatives & hedge funds 19 (2013) 3, pp. 208-240

Persistent link: https://www.econbiz.de/10010259418

Monitoring financial distress in a high-stress financial world : the role of option prices as bank risk metrics

Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - In: Journal of financial services research : JFSR 44 (2013) 3, pp. 229-257

Persistent link: https://www.econbiz.de/10010336307

Do Aussie markets smile? : implied volatility functions and determinants

Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163

Persistent link: https://www.econbiz.de/10011289355

The relationship between conditional value at risk and option prices with a closed-form solution

Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425

Persistent link: https://www.econbiz.de/10010528975

A bias in the volatility smile

Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90

Persistent link: https://www.econbiz.de/10011930559

Regime-switching stochastic volatility model : estimation and calibration to VIX options

Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75

Persistent link: https://www.econbiz.de/10011746993

Pricing and hedging competitiveness of the tree option pricing models : evidence from India

Singh, Vipul Kumar - In: The journal of asset management 17 (2016) 6, pp. 453-475

Persistent link: https://www.econbiz.de/10011648199