Results 231 to 240 of about 14,899 (264)

Pricing Options on Realized Variance

SSRN Electronic Journal, 2005
Models which hypothesize that returns are pure jump processes with independent increments have been shown to be capable of capturing the observed variation of market prices of vanilla stock options across strike and maturity. In this paper, these models are employed to derive in closed form the prices of derivatives written on future realized quadratic
Yor, Marc, Carr, P., Geman, H., Madan, D.B.   +3 more
openaire   +2 more sources

Option Pricing Theory

1987
Financial contracting is as old as human history. Deeds for the sale of land have been discovered that date to before 2800 bc. The Code of Hammurabi (c1800 bc) regulated, among other things, the terms of credit. Contingent contracting was also common.
openaire   +1 more source

On pricing of credit spread options

European Journal of Operational Research, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
GIACOMETTI, Rosella, Teocchi, Mariangela
openaire   +2 more sources

The Pricing of Options and Corporate Liabilities

Journal of Political Economy, 1973
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Black, Fischer, Scholes, Myron S
openaire   +1 more source

Pricing and Hedging Spread Options

SIAM Review, 2003
There is already extensive literature on spread options in the equity, fixed income, foreign exchange and commodities markets. The authors patiently and cleverly put together the material scattered across recent textbooks and journal papers. After presenting a general overview of their common features, they describe in detail the mathematical framework
René Carmona 0001, Valdo Durrleman
openaire   +1 more source

OPTION PRICING BOUNDS AND THE PRICING OF BOND OPTIONS

Journal of Business Finance & Accounting, 1996
Astrup Jensen, Bjarne, Aase Nielsen, Jørgen   +1 more
openaire   +2 more sources

The option pricing problem

2021
Elisa Alòs, David Garcia Lorite
openaire   +1 more source

DeepOption: A novel option pricing framework based on deep learning with fused distilled data from multiple parametric methods

Information Fusion, 2021
Ha Young Kim
exaly  

A systematic review of the interactions of fuzzy set theory and option pricing

Expert Systems With Applications, 2023
Jorge De Andrés-Sánchez
exaly  

Option Pricing Based on GA-BP neural network

Procedia Computer Science, 2022
Jianbin Zhao
exaly