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Keyword: option trading
Found
12 papers
in total
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Fitted finite volume method for a generalized Black–Scholes equation transformed on finite interval
2014,
Valkov Radoslav
A generalized Black–Scholes equation is considered on the semi‐axis. It...
Employee Stock Options and Investment
2011,
Lemmon Michael
Exercises of employee stock options generate substantial cash inflows to the firm....
Option Pricing Under a Mixed‐Exponential Jump Diffusion Model
2011,
Cai Ning
This paper aims to extend the analytical tractability of the Black–Scholes model...
Pricing and hedging of Asian options: quasi‐explicit solutions via Malliavin calculus
2011,
Ewald Christian-Oliver
We use Malliavin calculus and the Clark–Ocone formula to derive the hedging...
Stochastic dominance of portfolio insurance strategies
2011,
Zagst Rudi
The purpose of this article is to analyze and compare two standard portfolio insurance...
The shape and term structure of the index option Smirk: Why multifactor stochastic volatility models work so well
2009,
Christoffersen Peter
State-of-the-art stochastic volatility models generate a ‘volatility...
Auctions for procuring options
2003,
Vohra Rakesh V.
We examine the mechanism–design problem for a single buyer to procure purchase...
Optimal exercise policies and simulation-based valuation for American–Asian options
2003,
Fu Michael C.
American–Asian options are average-price options that allow early exercise. In...
A simple options training model
1999,
Ingber L.
Options pricing can be based on sophisticated stochastic differential equation models....
Network modeling of international financial equilibria with hedging
1998,
Nagurney Anna
In this paper, we develop an international financial equilibrium model with hedging in...
A class of options with stochastic lives and an extension of the Black–Scholes formula
1996,
Jennergren L. Peter
Certain options have a fixed date of maturity but may be cancelled prematurely. This...
Transaction costs and efficiency of portfolio strategies
1996,
Pelsser Antoon
Some recent results for frictionless economies show that popular dynamic portfolio...
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