๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

On the range of options prices

โœ Scribed by Ernst Eberlein; Jean Jacod


Publisher
Springer-Verlag
Year
1997
Tongue
English
Weight
132 KB
Volume
1
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


On the theory of option pricing
โœ A. Bensoussan ๐Ÿ“‚ Article ๐Ÿ“… 1984 ๐Ÿ› Springer Netherlands ๐ŸŒ English โš– 714 KB

The objective of this article is to provide an axiomatic framework in order to define the concept of value function for risky operations for which there is no market. There is a market for assets, whose prices are characterized as stochastic processes. The method consists of constructing a portfolio

A note on agricultural options and the v
โœ Nikolaos T. Milonas ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 351 KB ๐Ÿ‘ 2 views

he recent introduction of options on agricultural futures has fueled a growing T research interest on issues ranging from risk-return characteristics of option hedging strategies to the valuation of commodity options. Valuation models for options on common stocks have been extensively used ever sinc

The impact of liquidity on option prices
โœ Robin K. Chou; San-Lin Chung; Yu-Jen Hsiao; Yaw-Huei Wang ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 148 KB

This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei ( 2009), a clear link remains between option p

Pricing average options on commodities
โœ Kenichiro Shiraya; Akihiko Takahashi ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 204 KB

This study proposes a new approximation formula for pricing average options on commodities under a stochastic volatility environment. In particular, it derives an option pricing formula under Heston and an extended l-SABR stochastic volatility models (which includes an extended SABR model as a speci

Option Pricing on Multiple Assets
โœ Thomas P. Branson; Yang Ho Choi ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Springer Netherlands ๐ŸŒ English โš– 385 KB