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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000982923
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Bootstrap derivative asset pricing
Markellos, Raphaēl N. - 1998
Persistent link: https://www.econbiz.de/10000996674
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Path-dependent option valuation when the underlying path is discontinuous
Zhou, Chunsheng - 1997
Persistent link: https://www.econbiz.de/10000633272
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Option hedging using empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000643460
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A risk-neutral stochastic volatility model
Zhu, Yingzi - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 289-310
Persistent link: https://www.econbiz.de/10001240151
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An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378
Persistent link: https://www.econbiz.de/10001242646
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Optionsbewertung
Abel, Ulrich - In: Bank-Archiv : Zeitschrift für das gesamte Bank- und … 37 (1989) 11, pp. 1047-1055
Persistent link: https://www.econbiz.de/10001080613
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Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
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Evaluation of options using the Black-Scholes methodology
Brătian, Vasile - In: Expert journal of economics 7 (2019) 2, pp. 59-65
This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather sophisticated equation. It is a partial...
Persistent link: https://www.econbiz.de/10012131594
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A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae; Yoo, Minhyun; Yoo, Changwoo; Kim, Junseok - In: Computational economics 53 (2019) 1, pp. 111-124
Persistent link: https://www.econbiz.de/10012134544