Advanced Search
MyIDEAS: Login

Citations for " General Properties of Option Prices"

by Bergman, Yaacov Z & Grundy, Bruce D & Wiener, Zvi

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Nicole Branger & Christian Schlag, 2004. "Is volatility risk priced? Properties of tests based on option hedging errors," Money Macro and Finance (MMF) Research Group Conference 2003 8, Money Macro and Finance Research Group.
  2. Alfredo Ibañez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb058121, Universidad Carlos III, Departamento de Economía de la Empresa.
  3. Erik Ekstr\"om & Johan Tysk, 2006. "Convexity preserving jump-diffusion models for option pricing," Papers math/0601526, arXiv.org.
  4. Hyong-Chol O & Ji-Sok Kim, 2013. "General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application," Papers 1309.6505, arXiv.org, revised Sep 2013.
  5. José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  6. Kuo, I-Doun & Lin, Yueh-Neng, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 23-32, January.
  7. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
  8. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  9. Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
  10. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(11), pages 1937-1962, November.
  11. Dupont, Dominique Y., 2001. "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series 104, Institute for Advanced Studies.
  12. Jérôme B. Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO.
  13. Antonio Mele, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
  14. Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis, 2005. "Option Pricing: Real and Risk-Neutral Distributions," CoFE Discussion Paper 05-06, Center of Finance and Econometrics, University of Konstanz.
  15. René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Working Papers 98-10, Centre de Recherche en Economie et Statistique.
  16. Alexander, Carol & Nogueira, Leonardo M., 2007. "Model-free hedge ratios and scale-invariant models," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1839-1861, June.
  17. David Hobson, 2010. "Comparison results for stochastic volatility models via coupling," Finance and Stochastics, Springer, vol. 14(1), pages 129-152, January.
  18. Lorenzo Torricelli, 2012. "Pricing joint claims on an asset and its realized variance under stochastic volatility models," Papers 1206.2112, arXiv.org.
  19. Nikunj Kapadia & Gregory Willette, 2012. "Equilibrium exercise of European warrants," Review of Derivatives Research, Springer, vol. 15(2), pages 129-156, July.
  20. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005, Society for Computational Economics 216, Society for Computational Economics.
  21. Alvarez, Luis H. R. & Koskela, Erkki, 2005. "Wicksellian theory of forest rotation under interest rate variability," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(3), pages 529-545, March.
  22. Weinbaum, David, 2009. "Investor heterogeneity, asset pricing and volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(7), pages 1379-1397, July.
  23. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  24. Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, Elsevier, vol. 6(4), pages 573-605, August.
  25. Eric Rasmusen, 2004. "When Does Extra Risk Strictly Increase the Value of Options?," Finance, EconWPA 0409004, EconWPA.
  26. Chung, San-Lin & Wang, Yaw-Huei, 2008. "Bounds and prices of currency cross-rate options," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 631-642, May.
  27. Erik Ekstr\"om & Johan Tysk, 2005. "Properties of option prices in models with jumps," Papers math/0509232, arXiv.org, revised Nov 2005.
  28. Erik Ekstrom & Johan Tysk, 2007. "Convexity theory for the term structure equation," Papers math/0702435, arXiv.org.
  29. Pirjetä, Antti & Ikäheimo, Seppo & Puttonen, Vesa, 2010. "Market pricing of executive stock options and implied risk preferences," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(3), pages 394-412, June.
  30. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre.
  31. Juho Kanniainen & Robert Pich\'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
  32. Eric Rasmusen, 2007. "When Does Extra Risk Strictly Increase an Option's Value?," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1647-1667, 2007 14.
  33. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
  34. Chang, Eric C. & Luo, Xingguo & Shi, Lei & Zhang, Jin E., 2013. "Is warrant really a derivative? Evidence from the Chinese warrant market," Journal of Financial Markets, Elsevier, Elsevier, vol. 16(1), pages 165-193.
  35. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(1), pages 204-220, January.
  36. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Co-movements of Index Options and Futures Quotes," Working Paper Series 2006-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  37. Norden, Lars, 2001. "Hedging of American equity options: do call and put prices always move in the direction as predicted by the movement in the underlying stock price?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 11(4-5), pages 321-340, December.
  38. Erik Ekstr\"{o}m & Stephane Villeneuve, 2006. "On the value of optimal stopping games," Papers math/0610324, arXiv.org.
  39. Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006. "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 38(2), pages 399-428, March.
  40. Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany.
  41. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
  42. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
  43. Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(1), pages 61-87.
  44. Mahayni, Antje & Schoenmakers, John G.M., 2011. "Minimum return guarantees with fund switching rights—An optimal stopping problem," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(11), pages 1880-1897.
  45. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2005. "A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation," Review of Derivatives Research, Springer, vol. 8(1), pages 5-25, June.
  46. Alexander David & Pietro Varonesi, 1999. "Option prices with uncertain fundamentals theory and evidence on the dynamics of implied volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-47, Board of Governors of the Federal Reserve System (U.S.).
  47. Robert R. Bliss, 2000. "The pitfalls in inferring risk from financial market data," Working Paper Series, Federal Reserve Bank of Chicago WP-00-24, Federal Reserve Bank of Chicago.
  48. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
  49. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, Elsevier, vol. 116(1-2), pages 181-224.
  50. Reint Gropp & Jukka Vesala & Giuseppe Vulpes, 2004. "Market indicators, bank fragility, and indirect market discipline," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Sep, pages 53-62.
  51. Erik Ekstr\"om & Johan Tysk, 2005. "A boundary point lemma for Black-Scholes type operators," Papers math/0509231, arXiv.org.