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Computation of Greeks using binomial trees in a jump-diffusion model

Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110

Persistent link: https://www.econbiz.de/10011474273

Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps

Ulyah, Siti Maghfirotul; Lin, Xenos Chang-Shuo; Miao, … - In: Finance research letters 24 (2018), pp. 113-128

Persistent link: https://www.econbiz.de/10011982515

Option pricing with maximum entropy densities : the inclusion of higher-order moments

Ardakani, Omid M. - In: The journal of futures markets 42 (2022) 10, pp. 1821-1836

Persistent link: https://www.econbiz.de/10013465823

Closed-form approximations for basket option pricing under normal tempered stable Lévy model

Hu, Dongdong; Sayit, Hasanjan; Yao, Jing; Zhong, Qifeng - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015134981

A recombining lattice option pricing model that relaxes the assumption of lognormality

Ji, Dasheng; Brorsen, Wade - In: Review of derivatives research 14 (2011) 3, pp. 349-367

Persistent link: https://www.econbiz.de/10009349984

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010204746

A simple time-consistent model for the forward density process

Hult, Henrik; Lindskog, Filip; Nykvist, Johan - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-29

Persistent link: https://www.econbiz.de/10010243619

Hermite binomial trees : a novel technique for derivatives pricing

Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36

Persistent link: https://www.econbiz.de/10009707095

A simple and reliable way to compute option-based risk-neutral distributions

Malz, Allan M. - 2014

This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style guidance through the estimation process. The technique is robust and avoids violations of option no-arbitrage...

Persistent link: https://www.econbiz.de/10010404081

A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions

Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708

Persistent link: https://www.econbiz.de/10009298478