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Option implied risk-neutral density estimation : a robust and flexible method

Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 54 (2019) 2, pp. 705-728

Persistent link: https://www.econbiz.de/10012134345

Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics

Gür, Sercan - 2019

Persistent link: https://www.econbiz.de/10012197036

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...

Persistent link: https://www.econbiz.de/10012484130

The impact of embedded location options on price discovery of agricultural futures contracts : the evidence from the Chana contract

Mansabdar, Sanjay; Yaganti, Hussain C.; Basu, Sankarshan - In: Journal of Indian business research 14 (2022) 3, pp. 301-318

Persistent link: https://www.econbiz.de/10013288116

Option portfolio management in a risk-neutral world

Golembiovsky, Dmitry Jurievich; Abramov, Anatoly Markovich - In: Journal of mathematical finance 8 (2018) 4, pp. 710-733

Persistent link: https://www.econbiz.de/10012016559

Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach

Zhuang, Yangyang; Tang, Pan - In: The journal of futures markets 43 (2023) 10, pp. 1469-1496

Persistent link: https://www.econbiz.de/10014339456

An improved least squares Monte Carlo valuation method based on heteroscedasticity

Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706

Persistent link: https://www.econbiz.de/10011794017

Implied volantility and state price density estimation : arbitrage analysis

Kopa, Miloš; Vitali, Sebastiano; Tichý, Tomáš; … - In: Computational Management Science : CMS 14 (2017) 4, pp. 559-583

Persistent link: https://www.econbiz.de/10011758973

The early exercise premium in American options by using nonparametric regressions

Li, Weiping; Chen, Su - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10011956935

Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing

Liang, Jian; Xu, Zhe; Li, Peter - In: Quantitative finance 21 (2021) 8, pp. 1309-1323

Persistent link: https://www.econbiz.de/10012608649