On the pricing and hedging of options for highly volatile periods
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- Youssef El-Khatib & Abdulnasser Hatemi-J, 2013. "On the pricing and hedging of options for highly volatile periods," Papers 1304.4688, arXiv.org.
References listed on IDEAS
- Savit, R., 1989. "Nonlinearities And Chaotic Effects In Options Prices," Papers 184, Columbia - Center for Futures Markets.
- Fabrizio Lillo & Rosario N. Mantegna, 2001. "Power law relaxation in a complex system: Omori law after a financial market crash," Papers cond-mat/0111257, arXiv.org, revised Jun 2003.
- Gu, Hui & Liang, Jin-Rong & Zhang, Yun-Xiu, 2012. "Time-changed geometric fractional Brownian motion and option pricing with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3971-3977.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Dibeh, Ghassan & Harmanani, Haidar M., 2007. "Option pricing during post-crash relaxation times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 357-365.
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- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017. "Computation of second order price sensitivities in depressed markets," Papers 1705.02473, arXiv.org, revised Jan 2018.
More about this item
KeywordsAsset Pricing and Hedging; Options; Financial Crisis; Black and Scholes formula.;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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