Works matching DE "MATHEMATICAL models of option"

Results: 48

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel.

Published in:

Review of Financial Studies, 2013, v. 26, n. 8, p. 1963, doi. 10.1093/rfs/hht033

By:

Christoffersen, Peter;
Heston, Steven;
Jacobs, Kris

Publication type:

Article

A Simple Robust Link Between American Puts and Credit Protection.

Published in:

Review of Financial Studies, 2011, v. 24, n. 2, p. 473, doi. 10.1093/rfs/hhq129

By:

Carr, Peter;
Wu, Liuren

Publication type:

Article

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model.

Published in:

Review of Financial Studies, 2008, v. 21, n. 5, p. 2209, doi. 10.1093/rfs/hhn071

By:

Cremers, K. J. Martijn;
Driessen, Joust;
Maenhout, Pascal

Publication type:

Article

The Dating Game: Do Managers Designate Option Grant Dates to Increase their Compensation?

Published in:

Review of Financial Studies, 2008, v. 21, n. 5, p. 1908, doi. 10.1093/rfs/hhm044

By:

Narayanan, M. P.;
Seyhun, H. Nejat

Publication type:

Article

CRUDE OIL OPTIONS HEDGING BASED ON A NEW EXTREME RISK MEASURE.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2018, v. 52, n. 4, p. 275, doi. 10.24818/18423264/52.4.18.18

By:

Xing Yu;
Weiguo Zhang;
Yongjun Liu

Publication type:

Article

Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition.

Published in:

Quantitative Finance, 2018, v. 18, n. 9, p. 1501, doi. 10.1080/14697688.2018.1444534

By:

Hua, Qiuling;
Cheng, Zhang;
Jiang, Tingfeng

Publication type:

Article

Numerical methods for dynamic Bertrand oligopoly and American options under regime switching.

Published in:

Quantitative Finance, 2016, v. 16, n. 11, p. 1741, doi. 10.1080/14697688.2016.1167281

By:

Amarala, Swathi;
Wan, Justin W. L.

Publication type:

Article

Analytic approximation formulae for European crack spread options.

Published in:

Quantitative Finance, 2016, v. 16, n. 5, p. 711, doi. 10.1080/14697688.2015.1070959

By:

Aba Oud, M.A.;
Goard, J.

Publication type:

Article

Heterogeneous Beliefs and Risk-Neutral Skewness.

Published in:

Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 4, p. 851, doi. 10.1017/S0022109012000269

By:

Friesen, Geoffrey C.;
Zhang, Yi;
Zorn, Thomas S.

Publication type:

Article

Multilevel Monte Carlo for Asian options and limit theorems.

Published in:

Monte Carlo Methods & Applications, 2014, v. 20, n. 3, p. 181, doi. 10.1515/mcma-2013-0025

By:

Ben Alaya, Mohamed;
Kebaier, Ahmed

Publication type:

Article

Assessment and propagation of input uncertainty in tree-based option pricing models.

Published in:

Applied Stochastic Models in Business & Industry, 2009, v. 25, n. 3, p. 275, doi. 10.1002/asmb.736

By:

Gzyl, Henryk;
Molina, German;
ter Horst, Enrique

Publication type:

Article

Modeling of financial processes with a space-time fractional diffusion equation of varying order.

Published in:

Fractional Calculus & Applied Analysis, 2016, v. 19, n. 6, p. 1414, doi. 10.1515/fca-2016-0073

By:

Korbel, Jan;
Luchko, Yuri

Publication type:

Article

Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method.

Published in:

Abstract & Applied Analysis, 2013, p. 1, doi. 10.1155/2013/194286

By:

Lina Song;
WeiguoWang

Publication type:

Article

ON SOME GENERALIZATION OF THE COX-ROSS-RUBINSTEIN MODEL AND ITS ASYMPTOTICS OF BLACK-SCHOLES TYPE.

Published in:

Bulletin de la Société des Sciences et des Lettres de Lodz, 2014, v. 64, n. 1, p. 25

By:

Fraszka-Sobczyk, Emilia

Publication type:

Article

Options Trading and the Cost of Equity Capital.

Published in:

Accounting Review, 2013, v. 88, n. 1, p. 261, doi. 10.2308/accr-50275

By:

Naiker, Vic;
Navissi, Farshid;
Truong, Cameron

Publication type:

Article

IN DEFENSE OF MODELS.

Published in:

Financial History, 2010, n. 96, p. 32

By:

Morris, Gregory D. L.

Publication type:

Article

Autocallable Structured Products.

Published in:

Journal of Derivatives, 2015, v. 22, n. 3, p. 73, doi. 10.3905/jod.2015.22.3.073

By:

GUILLAUME, TRISTAN

Publication type:

Article

Robust Estimation of Shape-Constrained State Price Density Surfaces.

Published in:

Journal of Derivatives, 2015, v. 22, n. 3, p. 56, doi. 10.3905/jod.2015.22.3.056

By:

LUDWIG, MARKUS

Publication type:

Article

Implied Binomial Trees with Cubic Spline Smoothing.

Published in:

Journal of Derivatives, 2015, v. 22, n. 3, p. 40, doi. 10.3905/jod.2015.22.3.040

By:

TIAN, YISONG S.

Publication type:

Article

Calibrating and Pricing with a Stochastic-Local Volatility Model.

Published in:

Journal of Derivatives, 2015, v. 22, n. 3, p. 21, doi. 10.3905/jod.2015.22.3.021

By:

YU TIAN;
ZILI ZHU;
GEOFFREY LEE;
FIMA KLEBANER;
KAIS HAMZA

Publication type:

Article

A Study on Optimal Multiple Stopping and Swing Options Pricing.

Published in:

Ganit: Journal of Bangladesh Mathematical Society, 2020, v. 40, n. 2, p. 145, doi. 10.3329/ganit.v40i2.51317

By:

Das, Atoshi;
Hossaina, A. B. M. Shahadat

Publication type:

Article

A Comparative Study between Implicit and Crank-Nicolson Finite Difference Method for Option Pricing.

Published in:

Ganit: Journal of Bangladesh Mathematical Society, 2020, n. 40, p. 13, doi. 10.3329/ganit.v40i1.48192

By:

Debnath, Tanmoy Kumar;
Hossain, A. B. M. Shahadat

Publication type:

Article

OPTION PRICING WITH PADÉ APPROXIMATIONS.

Published in:

Communications Series A1 Mathematics & Statistics, 2012, v. 61, n. 2, p. 45, doi. 10.1501/Commua1_0000000679

By:

KÖROĞLU, CANAN

Publication type:

Article

ADAPTIVE MESH MODELING AND BARRIER OPTION PRICING UNDER A JUMP-DIFFUSION PROCESS.

Published in:

Journal of Financial Research, 2008, v. 31, n. 4, p. 381, doi. 10.1111/j.1475-6803.2008.00244.x

By:

Albert, Michael;
Fink, Jason;
Fink, Kristin E.

Publication type:

Article

Risk-Neutral Skewness: Evidence from Stock Options.

Published in:

Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 3, p. 471, doi. 10.2307/3594989

By:

Dennis, Patrick;
Mayhew, Stewart

Publication type:

Article

Analytical Upper Bounds for American Option Prices.

Published in:

Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 1, p. 117, doi. 10.2307/3594997

By:

Ren-Raw Chen;
Shih-Kuo Yeh

Publication type:

Article

Average Rate Claims with Emphasis on Catastrophe Loss Options.

Published in:

Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 1, p. 93, doi. 10.2307/3594996

By:

Bakshi, Gurdip;
Madan, Dilip

Publication type:

Article

EMPIRICAL PROPERTIES OF THE BLACK-SCHOLES FORMULA UNDER IDEAL CONDITIONS.

Published in:

Journal of Financial & Quantitative Analysis, 1980, v. 15, n. 5, p. 1081, doi. 10.2307/2330173

By:

Bhattacharya, Mihir

Publication type:

Article

VALUATION OF EUROPEAN INSTALLMENT PUT OPTION:: VARIATIONAL INEQUALITY APPROACH.

Published in:

Communications in Contemporary Mathematics, 2009, v. 11, n. 2, p. 279, doi. 10.1142/S0219199709003363

By:

Yang, Zhou;
Yi, Fahuai

Publication type:

Article

Optimal Expansion Financing and Prior Financial Structure.

Published in:

International Review of Finance, 2011, v. 11, n. 1, p. 57, doi. 10.1111/j.1468-2443.2009.01099.x

By:

SARKAR, SUDIPTO

Publication type:

Article

A backward Monte Carlo approach to exotic option pricing.

Published in:

European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 146, doi. 10.1017/S0956792517000079

By:

BORMETTI, G.;
CALLEGARO, G.;
LIVIERI, G.;
PALLAVICINI, A.

Publication type:

Article

A variational inequality arising from optimal exercise perpetual executive stock options.

Published in:

European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 55, doi. 10.1017/S0956792517000031

By:

LAI, XIN;
CHEN, XINFU;
QIN, CONG;
YU, WANGHUI

Publication type:

Article

Pricing American-style Parisian up-and-out call options.

Published in:

European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 1, doi. 10.1017/S0956792517000018

By:

LU, XIAOPING;
LE, NHAT-TAN;
ZHU, SONG PING;
CHEN, WENTING

Publication type:

Article

Two Exotic Lookback Options.

Published in:

Applied Mathematical Finance, 2008, v. 15, n. 4, p. 387, doi. 10.1080/13504860802012824

By:

Bermin, Hans‐Peter;
Buchen, Peter;
Konstandatos, Otto

Publication type:

Article

SHORTFALL RISK APPROXIMATIONS FOR AMERICAN OPTIONS IN THE MULTIDIMENSIONAL BLACK-SCHOLES MODEL.

Published in:: Journal of Applied Probability, 2010, v. 47, n. 4, p. 997, doi. 10.1239/jap/1294170514
Publication type:: Article

ANÁLISIS DE LA INCORPORACIÓN DE FLEXIBILIDAD EN LA EVALUACIÓN DE PROYECTOS DE INVERSIÓN UTILIZANDO OPCIONES REALES Y DESCUENTO DE FLUJOS DINÁMICO.

Published in:

Horizontes Empresariales, 2008, v. 7, n. 1, p. 41

By:

GÓMEZ, MACARENA GALLARDO;
CHACUR, ALEJANDRO ANDALAFT

Publication type:

Article

A graphical method for valuing switching options.

Published in:

Journal of the Operational Research Society, 2010, v. 61, n. 11, p. 1596, doi. 10.1057/jors.2009.128

By:

Cobb, B. R.;
Charnes, J. M.

Publication type:

Article

The Fuzzy Jump-Diffusion Model to Pricing European Vulnerable Options.

Published in:

International Journal of Fuzzy Systems, 2013, v. 15, n. 3, p. 317

By:

Weijun Xu;
Xiaolong Peng;
Weilin Xiao

Publication type:

Article

Normalized particle swarm optimization for complex chooser option pricing on graphics processing unit.

Published in:

Journal of Supercomputing, 2013, v. 66, n. 1, p. 170, doi. 10.1007/s11227-013-0893-z

By:

Sharma, Bhanu;
Thulasiram, Ruppa;
Thulasiraman, Parimala

Publication type:

Article

Option Pricing under Sign RCA-GARCH Models.

Published in:

Dynamic Econometric Models, 2014, v. 14, p. 145, doi. 10.12775/DEM.2014.008

By:

Górka, Joanna

Publication type:

Article

A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS.

Published in:

International Journal of Theoretical & Applied Finance, 2008, v. 11, n. 5, p. 471, doi. 10.1142/S0219024908004890

By:

EHRHARDT, MATTHIAS;
MICKENS, RONALD E.

Publication type:

Article

Computing deltas without derivatives.

Published in:

Finance & Stochastics, 2017, v. 21, n. 2, p. 509, doi. 10.1007/s00780-016-0321-3

By:

Baños, D.;
Meyer-Brandis, T.;
Proske, F.;
Duedahl, S.

Publication type:

Article

The Factor Structure in Equity Options.

Published in:

Review of Financial Studies, 2018, v. 31, n. 2, p. 595, doi. 10.1093/rfs/hhx089

By:

Christoffersen, Peter;
Fournier, Mathieu;
Jacobs, Kris

Publication type:

Article

Pricing Kernel Monotonicity and Conditional Information.

Published in:

Review of Financial Studies, 2018, v. 31, n. 2, p. 493, doi. 10.1093/rfs/hhx095

By:

Linn, Matthew;
Shive, Sophie;
Shumway, Tyler

Publication type:

Article

Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction.

Published in:

Management Science, 2013, v. 59, n. 2, p. 376, doi. 10.1287/mnsc.1120.1568

By:

Xiaoqun Wang;
Ken Seng Tan

Publication type:

Article

Pathwise Optimization for Optimal Stopping Problems.

Published in:

Management Science, 2012, v. 58, n. 12, p. 2292, doi. 10.1287/mnsc.1120.1551

By:

Desai, Vijay V.;
Farias, Vivek F.;
Moallemi, Ciamac C.

Publication type:

Article

Market Timing with Option-Implied Distributions: A Forward-Looking Approach.

Published in:

Management Science, 2011, v. 57, n. 7, p. 1231, doi. 10.1287/mnsc.1110.1346

By:

Kostakis, Alexandros;
Panigirtzoglou, Nikolaos;
Skiadopoulos, George

Publication type:

Article

A Summary on Pricing American Call Options Under the Assumption of a Lognormal Framework in the Korn-Rogers Model.

Published in:

Bulletin of the Malaysian Mathematical Sciences Society, 2012, v. 35, n. 2A, p. 573

By:

KRUSE, SUSANNE;
MÜLLER, MARLENE

Publication type:

Article