Works about OPTIONS sales & prices (Finance)

Results: 146

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

Estimating Parametric Models of Probability Distributions.

Published in:

Methodology & Computing in Applied Probability, 2015, v. 17, n. 3, p. 823, doi. 10.1007/s11009-014-9409-4

By:

Madan, Dilip

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

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

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

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

Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints.

Published in:

Journal of Inequalities & Applications, 2016, v. 2016, n. 1, p. 1, doi. 10.1186/s13660-016-1097-x

By:

Kundu, Arindam;
Kumar, Sumit;
Kumar Tomar, Nutan;
Kumar Gupta, Shiv

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

On the performative power of financial models.

Published in:

Economy & Society, 2012, v. 41, n. 3, p. 418, doi. 10.1080/03085147.2011.616145

By:

Svetlova, Ekaterina

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

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

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

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

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

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

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

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

Asymptotics of implied volatility to arbitrary order.

Published in:

Finance & Stochastics, 2014, v. 18, n. 2, p. 349, doi. 10.1007/s00780-013-0223-6

By:

Gao, Kun;
Lee, Roger

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

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

A Gaussian semi-parametric implied volatility model.

Published in:

Journal of Algorithms & Computational Technology, 2017, v. 11, n. 3, p. 246, doi. 10.1177/1748301817709602

By:

Xiaoyan Wu;
Ying Zhuang;
Fei Chen;
Meiqing Wang

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

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

Application of Monte Carlo Simulation in the Assessment of European Call Options.

Published in:

Iranian Journal of Management Studies, 2013, v. 6, n. 1, p. 9

By:

Shahbandarzadeh, Hamid;
Salimifard, Khodakaram;
Moghdani, Reza

Publication type:

Article

How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?

Published in:

Review of Pacific Basin Financial Markets & Policies, 2015, v. 18, n. 2, p. -1, doi. 10.1142/S0219091515500101

By:

Szu, Wen-Ming;
Wang, Yi-Chen;
Yang, Wan-Ru

Publication type:

Article

A NOVEL METHOD FOR PREDICTION OF OPTION PRICING FOR A MARKET MODEL.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2013, v. 47, n. 4, p. 1

By:

Yunxia SHI;
Xiping ZHAO

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

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

OPTION PRICING USING MONTE CARLO SIMULATION.

Published in:

Journal of Security & Sustainability Issues, 2013, v. 2, n. 4, p. 65, doi. 10.9770/jssi.2013.2.4(7)

By:

Martinkutė-Kaulienė, Raimonda;
Stankevičienė, Jelena;
Žinytė, Santautė

Publication type:

Article

On Option Pricing in Illiquid Markets with Jumps.

Published in:

ISRN Mathematical Analysis, 2013, p. 1, doi. 10.1155/2013/567071

By:

El-Khatib, Youssef;
Hatemi-J., Abdulnasser

Publication type:

Article

ESTIMAÇÃO DO PRÊMIO DE OPÇÕES ASIÁTICAS POR MONTE CARLO E QUASI-MONTE CARLO.

Published in:

Revista de Administração FACES Journal, 2012, v. 11, n. 4, p. 52

By:

Igrejas da Silva, Rafael;
Almeida de Assis, Marcio;
Figueiredo Pinto, Antonio Carlos;
Cabus Klotzle, Marcelo;
Lima Gomes, Leonardo

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

Compound Option Pricing under Fuzzy Environment.

Published in:

Journal of Applied Mathematics, 2014, p. 1, doi. 10.1155/2014/875319

By:

Xiandong Wang;
Jianmin He;
Shouwei Li

Publication type:

Article

Pricing Options with Credit Risk in Markovian Regime-Switching Markets.

Published in:

Journal of Applied Mathematics, 2013, p. 1, doi. 10.1155/2013/621371

By:

Jinzhi Li;
Shixia Ma

Publication type:

Article

An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options.

Published in:

Journal of Applied Mathematics, 2013, p. 1, doi. 10.1155/2013/605943

By:

Zhongdi Cen;
Anbo Le;
Aimin Xu

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

A Simplified Quadrature Approach for Computing Bermudan Option Prices.

Published in:

International Review of Finance, 2016, v. 16, n. 4, p. 647, doi. 10.1111/irfi.12086

By:

Simonato, Jean ‐ Guy

Publication type:

Article

Option pricing in a conditional Bilateral Gamma model.

Published in:

Central European Journal of Operations Research, 2014, v. 22, n. 2, p. 373, doi. 10.1007/s10100-013-0286-7

By:

Bellini, Fabio;
Mercuri, Lorenzo

Publication type:

Article

Stock Return Extrapolation, Option Prices, and Variance Risk Premium.

Published in:

Review of Financial Studies, 2022, v. 35, n. 3, p. 1348, doi. 10.1093/rfs/hhab051

By:

Atmaz, Adem

Publication type:

Article

State Price Density Implied by Crude Oil Futures and Option Prices.

Published in:

Review of Financial Studies, 2022, v. 35, n. 2, p. 1064, doi. 10.1093/rfs/hhab011

By:

Christoffersen, Peter;
Jacobs, Kris;
Pan, Xuhui (Nick)

Publication type:

Article

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

Published in:

Review of Financial Studies, 2021, v. 34, n. 4, p. 1952, doi. 10.1093/rfs/hhaa082

By:

Ni, Sophie X;
Pearson, Neil D;
Poteshman, Allen M;
White, Joshua

Publication type:

Article

Product Market Competition and Option Prices.

Published in:

Review of Financial Studies, 2019, v. 32, n. 11, p. 4343, doi. 10.1093/rfs/hhz027

By:

Morellec, Erwan;
Zhdanov, Alexei

Publication type:

Article

Option Pricing of Earnings Announcement Risks.

Published in:

Review of Financial Studies, 2019, v. 32, n. 2, p. 646, doi. 10.1093/rfs/hhy060

By:

Dubinsky, Andrew;
Johannes, Michael;
Kaeck, Andreas;
Seeger, Norman J

Publication type:

Article

A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem.

Published in:

Review of Financial Studies, 2018, v. 31, n. 2, p. 532, doi. 10.1093/rfs/hhx108

By:

Bakshi, Gurdip;
Chabi-Yo, Fousseni;
Xiaohui Gao

Publication type:

Article

Exploring Return Dynamics via Corridor Implied Volatility.

Published in:

Review of Financial Studies, 2015, v. 28, n. 10, p. 2902, doi. 10.1093/rfs/hhv033

By:

Andersen, Torben G.;
Bondarenko, Oleg;
Gonzalez-Perez, Maria T.

Publication type:

Article