Narrow search
Showing 1 - 10 of 239
Cover Image
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
Cover Image
Fractional Brownian motion in option pricing and dynamic delta hedging : experimental simulations
Dufera, Tamirat Temesgen - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10014445631
Cover Image
Hedging of options in the presence of jump clustering
Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
Cover Image
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy - In: International journal of financial engineering 5 (2018) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Cover Image
Pricing European options in a delay model with jumps
Imdad, Zaheer; Zhang, Tusheng - In: Journal of financial engineering 1 (2014) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10010508745
Cover Image
Integrated dynamic models for hedging international portfolio risks
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, … - In: European journal of operational research : EJOR 285 (2020) 1, pp. 48-65
Persistent link: https://www.econbiz.de/10012239474
Cover Image
Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study
Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95
Investment behaviour, techniques and choices have evolved in the options markets since the launch of options trading in 1973. Today, we are entering the field of Big Data and the explosion of information, which has become the main feature of science, impacts investors' decisions and their...
Persistent link: https://www.econbiz.de/10012115106
Cover Image
Pricing and hedging options with rollover parameters
Kim, Sol - In: Journal of risk 19 (2017) 5, pp. 1-40
Persistent link: https://www.econbiz.de/10011747093
Cover Image
A unified tree approach for options pricing under stochastic volatility models
Lo, C. C.; Nguyen, Duy; Skindilias, K. - In: Finance research letters 20 (2017), pp. 260-268
Persistent link: https://www.econbiz.de/10011806944
Cover Image
A mean bound financial model and options pricing
Li, Yu - In: International journal of financial engineering 4 (2017) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10011807105