Works matching DE "OPTIONS sales %26 prices (Finance)"

Results: 146

Rational Krylov methods in exponential integrators for European option pricing.

Published in:

Numerical Linear Algebra with Applications, 2014, v. 21, n. 4, p. 494, doi. 10.1002/nla.1894

By:

Ragni, S.

Publication type:

Article

Power option pricing of the continuous dividend payment model with jump-diffusion.

Published in:

Journal of Zhengzhou University of Light Industry, Natural Science Edition, 2014, v. 29, n. 6, p. 103, doi. 10.3969/j.issn.2095-476X.2014.06.023

By:

CHENG Jun-xiang;
CHEN Gang

Publication type:

Article

A NUMERICAL SCHEME FOR PRICING AMERICAN OPTIONS WITH TRANSACTION COSTS UNDER A JUMP DIFFUSION PROCESS.

Published in:

Journal of Industrial & Management Optimization, 2017, v. 13, n. 4, p. 1793, doi. 10.3934/jimo.2017019

By:

LESMANA, DONNY CITRA;
SONG WANG

Publication type:

Article

Big moves of mutual funds.

Published in:

Eurasian Economic Review, 2019, v. 9, n. 1, p. 1, doi. 10.1007/s40822-018-0104-6

By:

Lehnert, Thorsten

Publication type:

Article

Option smiling when investors’ estimates of asset volatility disagree.

Published in:

Applied Economics, 2014, v. 46, n. 31, p. 3812, doi. 10.1080/00036846.2014.943883

By:

Lin, Chien-Chih

Publication type:

Article

A Simple Control Variate Method for Options Pricing with Stochastic Volatility Models.

Published in:

IAENG International Journal of Applied Mathematics, 2015, v. 45, n. 1, p. 64

By:

Guo Liu;
Qiang Zhao;
Guiding Gu

Publication type:

Article

Monitoring Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics.

Published in:

Journal of Financial Services Research, 2013, v. 44, n. 3, p. 229, doi. 10.1007/s10693-012-0150-2

By:

Coffinet, Jérôme;
Pop, Adrian;
Tiesset, Muriel

Publication type:

Article

A Binary Option Pricing Based on Fuzziness.

Published in:

International Journal of Information Technology & Decision Making, 2014, v. 13, n. 6, p. 1211, doi. 10.1142/S0219622014500345

By:

Miyake, Masatoshi;
Inoue, Hiroshi;
Shi, Jianming;
Shimokawa, Tetsuya

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

Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions.

Published in:

Mathematics of Operations Research, 2016, v. 41, n. 1, p. 109, doi. 10.1287/moor.2015.0718

By:

Bouchard, Bruno;
Nutz, Marcel

Publication type:

Article

Proactive Hedging European Call Option Pricing with Linear Position Strategy.

Published in:

Discrete Dynamics in Nature & Society, 2018, p. 1, doi. 10.1155/2018/2087145

By:

Li, Meng;
Wang, Xuefeng;
Sun, Fangfang

Publication type:

Article

Early exercise premium method for pricing American options under the J-model.

Published in:

Financial Innovation, 2016, v. 2, n. 1, p. 1, doi. 10.1186/s40854-016-0042-9

By:

Jerbi, Yacin

Publication type:

Article

The Information Content of Option Prices: Evidence from S&P 500 Index Options.

Published in:

Management Science & Financial Engineering, 2015, v. 21, n. 2, p. 13, doi. 10.7737/MSFE.2015.21.2.013

By:

Chenghan Ren;
Byungwook Choi

Publication type:

Article

Estimating the Parameters of Stochastic Volatility Models Using Option Price Data.

Published in:

Journal of Business & Economic Statistics, 2015, v. 33, n. 4, p. 579, doi. 10.1080/07350015.2014.981634

By:

Hurn, A. S.;
Lindsay, K. A.;
McClelland, A. J.

Publication type:

Article

THE REGULARIZED IMPLIED LOCAL VOLATILITY EQUATIONS -A NEW MODEL TO RECOVER THE VOLATILITY OF UNDERLYING ASSET FROM OBSERVED MARKET OPTION PRICE.

Published in:

Discrete & Continuous Dynamical Systems - Series B, 2012, v. 17, n. 6, p. 2017, doi. 10.3934/dcdsb.2012.17.2017

By:

Lishang Jiang;
Baojun Bian

Publication type:

Article

R-2GAM stochastic volatility model: flexibility and calibration.

Published in:

Review of Quantitative Finance & Accounting, 2015, v. 45, n. 3, p. 463, doi. 10.1007/s11156-014-0443-7

By:

Lee, Cheng-Few;
Sokolinskiy, Oleg

Publication type:

Article

American option valuation in a stochastic volatility model with transaction costs.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2015, v. 87, n. 3, p. 518, doi. 10.1080/17442508.2014.989525

By:

Cosso, Andrea;
Marazzina, Daniele;
Sgarra, Carlo

Publication type:

Article

LSM Algorithm for Pricing American Option Under Heston-Hull-White's Stochastic Volatility Model.

Published in:

Computational Economics, 2017, v. 50, n. 2, p. 173, doi. 10.1007/s10614-016-9598-8

By:

Samimi, O.;
Mardani, Z.;
Sharafpour, S.;
Mehrdoust, F.

Publication type:

Article

A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model.

Published in:

Computational Economics, 2017, v. 50, n. 2, p. 189, doi. 10.1007/s10614-016-9605-0

By:

Khodayari, Leila;
Ranjbar, Mojtaba

Publication type:

Article

Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models.

Published in:

Computational Economics, 2016, v. 47, n. 4, p. 623, doi. 10.1007/s10614-016-9563-6

By:

Chan, Ron

Publication type:

Article

PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES.

Published in:

Probability in the Engineering & Informational Sciences, 2017, v. 31, n. 2, p. 121, doi. 10.1017/S0269964816000486

By:

Wang, Guanying;
Wang, Xingchun;
Liu, Zhongyi

Publication type:

Article

ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK.

Published in:

Probability in the Engineering & Informational Sciences, 2017, v. 31, n. 1, p. 100, doi. 10.1017/S0269964816000292

By:

Wang, Xingchun

Publication type:

Article

On the White Noise of the Price of Stocks related to the Option Prices from the Black-Scholes Equation.

Published in:

IAENG International Journal of Applied Mathematics, 2018, v. 48, n. 2, p. 128

By:

Kananthai, A.;
Kraiwiradechachai, T.

Publication type:

Article

Assessing the quality of volatility estimators via option pricing.

Published in:

Studies in Nonlinear Dynamics & Econometrics, 2014, v. 18, n. 2, p. 103, doi. 10.1515/snde-2012-0075

By:

Sanfelici, Simona;
Uboldi, Adamo

Publication type:

Article

Dimension Reduction for Pricing Options Under Multidimensional Lévy Processes.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 1, p. 1, doi. 10.1007/s10690-014-9190-y

By:

Imai, Junichi

Publication type:

Article

Option Pricing for Symmetric Lévy Returns with Applications.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 1, p. 27, doi. 10.1007/s10690-014-9192-9

By:

Hamza, Kais;
Klebaner, Fima;
Landsman, Zinoviy;
Tan, Ying-Oon

Publication type:

Article

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes.

Published in:

Asia-Pacific Financial Markets, 2014, v. 21, n. 1, p. 1, doi. 10.1007/s10690-013-9175-2

By:

Sakuma, Takayuki;
Yamada, Yuji

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

The Value and Use of the IRA Recharacterization Option.

Published in:

Financial Analysts Journal, 2013, v. 69, n. 5, p. 61, doi. 10.2469/faj.v69.n5.3

By:

Stowe, David L.;
Fodor, Andy;
Stowe, John D.

Publication type:

Article

Trading Relative Performance with Alpha Indexes.

Published in:

Financial Analysts Journal, 2011, v. 67, n. 6, p. 77, doi. 10.2469/faj.v67.n6.4

By:

Sagi, Jacob S.;
Whaley, Robert E.

Publication type:

Article

Option pricing in an exponential MixedTS Lévy process.

Published in:

Annals of Operations Research, 2018, v. 260, n. 1/2, p. 353, doi. 10.1007/s10479-016-2180-x

By:

Mercuri, Lorenzo;
Rroji, Edit

Publication type:

Article

On the methods of pricing American options: case study.

Published in:

Annals of Operations Research, 2018, v. 260, n. 1/2, p. 79, doi. 10.1007/s10479-016-2267-4

By:

Aydoğan, Burcu;
Aksoy, Ümit;
Uğur, Ömür

Publication type:

Article

The Market Microstructure Linkages of Emerging Options Market and Stock Market.

Published in:

IUP Journal of Applied Finance, 2016, v. 22, n. 1, p. 16

By:

Kumar, A. Vinay

Publication type:

Article

Implied volatility smiles, option mispricing and net buying pressure: evidence around the global financial crisis.

Published in:

Accounting & Finance, 2012, v. 52, n. 1, p. 47, doi. 10.1111/j.1467-629X.2011.00419.x

By:

Larkin, J.;
Brooksby, A.;
Lin, C. T.;
Zurbruegg, R.

Publication type:

Article

Can Chinese Stock Index Future and Spot Markets Influence Each Other's Volatility? Evidence from Both Conditional Volatility and Realized Volatility.

Published in:

Journal of Alternative Investments, 2015, v. 18, n. 1, p. 37, doi. 10.3905/jai.2015.18.1.037

By:

Qiang Zhang;
JAFFRY, SHABBAR

Publication type:

Article

Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem.

Published in:

Applied Mathematics & Optimization, 2015, v. 72, n. 2, p. 187, doi. 10.1007/s00245-014-9276-y

By:

El Farouq, Naïma;
Bernhard, Pierre

Publication type:

Article

Options Expected Returns: Variation by Moneyness and Maturity.

Published in:

Quarterly Journal of Finance & Accounting, 2011, v. 50, n. 1, p. 51

By:

McKeon, Ryan

Publication type:

Article

An Analysis of Path-Dependent Options.

Published in:

Journal of Optimization Theory & Applications, 2015, v. 167, n. 3, p. 874, doi. 10.1007/s10957-013-0405-6

By:

Wusterhausen, Frank

Publication type:

Article

A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models.

Published in:

Computational & Applied Mathematics, 2018, v. 37, n. 3, p. 3691, doi. 10.1007/s40314-017-0540-z

By:

Heidari, S.;
Azari, H.

Publication type:

Article

A two-grid penalty method for American options.

Published in:

Computational & Applied Mathematics, 2018, v. 37, n. 3, p. 2381, doi. 10.1007/s40314-017-0457-6

By:

Chernogorova, Tatiana P.;
Koleva, Miglena N.;
Valkov, Radoslav L.

Publication type:

Article

Market-Consistent Modeling for Cap-and-Trade Schemes and Application to Option Pricing.

Published in:

Operations Research, 2014, v. 62, n. 2, p. 234, doi. 10.1287/opre.2013.1242

By:

Barrieu, Pauline;
Fehr, Max

Publication type:

Article

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach.

Published in:

Operations Research, 2013, v. 61, n. 3, p. 625, doi. 10.1287/opre.2013.1167

By:

Lingfei Li;
Linetsky, Vadim

Publication type:

Article

The Greek parameters of a continuous arithmetic Asian option pricing model via Laplace Adomian decomposition method.

Published in:

Open Physics, 2018, v. 16, n. 1, p. 780, doi. 10.1515/phys-2018-0097

By:

Edeki, Sunday O.;
Motsepa, Tanki;
Khalique, Chaudry Masood;
Akinlabi, Grace O.

Publication type:

Article

An Analytical Approximation for Option Price under the Affine GARCH Model - A Comparison with the Closed-Form Solution of Heston-Nandi.

Published in:

International Journal of Financial Management, 2017, v. 7, n. 1, p. 32

By:

Lahouel, Noureddine;
Hellara, Slaheddine

Publication type:

Article

Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model.

Published in:

Applied Mathematical Finance, 2015, v. 22, n. 6, p. 553, doi. 10.1080/1350486X.2015.1118354

By:

Chang, Ming-Chi;
Sheu, Yuan-Chung;
Tsai, Ming-Yao

Publication type:

Article

ADI Schemes for Pricing American Options under the Heston Model.

Published in:

Applied Mathematical Finance, 2015, v. 22, n. 3, p. 207, doi. 10.1080/1350486X.2015.1009129

By:

Haentjens, Tinne;
in 't Hout, Karel J.

Publication type:

Article

Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures.

Published in:

Applied Mathematical Finance, 2015, v. 22, n. 1, p. 63, doi. 10.1080/1350486X.2014.949805

By:

Kumar, Rohini

Publication type:

Article

Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk.

Published in:

Applied Mathematical Finance, 2015, v. 22, n. 1, p. 28, doi. 10.1080/1350486X.2014.948708

By:

Benth, Fred Espen;
Di Nunno, Giulia;
Khedher, Asma;
Schmeck, Maren Diane

Publication type:

Article

Correction: Exchange Option under Jump-diffusion Dynamics.

Published in:

Applied Mathematical Finance, 2015, v. 22, n. 1, p. 99, doi. 10.1080/1350486X.2014.937564

By:

Caldana, Ruggero;
Cheang, Gerald H. L.;
Chiarella, Carl;
Fusai, Gianluca

Publication type:

Article

Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model.

Published in:

Applied Mathematical Finance, 2015, v. 22, n. 1, p. 1, doi. 10.1080/1350486X.2014.928227

By:

Ahlip, Rehez;
Rutkowski, Marek

Publication type:

Article