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Displaced Diffusion Option Pricing

Citations

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Cited by:

  1. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
  2. Shi Chen & Jeng-Yan Tsai & Rosemary Jou, 2016. "Equities of scope as merger incentives under capital regulation: narrow versus synergy banking valuation," Applied Economics, Taylor & Francis Journals, vol. 48(37), pages 3508-3525, August.
  3. Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84, January.
  4. Nick Deguillaume & Riccardo Rebonato & Andrey Pogudin, 2013. "The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 351-367, February.
  5. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
  6. Luiz Vitiello & Ser-Huang Poon, 2022. "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1665-1684, May.
  7. Schröder, Michael & Lüders, Erik, 2004. "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers 04-19 [rev.], ZEW - Leibniz Centre for European Economic Research.
  8. Camara, Antonio & Davidson, Travis & Fodor, Andrew, 2020. "Bank asset structure and deposit insurance pricing," Journal of Banking & Finance, Elsevier, vol. 114(C).
  9. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
  10. Lakshithe Wagalath, 2016. "Feedback effects and endogenous risk in financial markets," Finance, Presses universitaires de Grenoble, vol. 37(2), pages 39-74.
  11. Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
  12. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
  13. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
  14. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
  15. Raoul Pietersz & Antoon Pelsser, 2010. "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, vol. 13(3), pages 245-272, October.
  16. Roger Lee & Dan Wang, 2012. "Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations," Annals of Finance, Springer, vol. 8(2), pages 159-181, May.
  17. Dirk Becherer & Ian Ward, 2010. "Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(1), pages 1-28.
  18. Raoul Pietersz & Marcel Regenmortel, 2006. "Generic market models," Finance and Stochastics, Springer, vol. 10(4), pages 507-528, December.
    • Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, University Library of Munich, Germany.
    • Pietersz, R. & van Regenmortel, M., 2005. "Generic Market Models," ERIM Report Series Research in Management ERS-2005-010-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  19. Song-Ping Zhu & Jing Zhang, 2012. "How should a convertible bond be decomposed?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(2), pages 113-149, November.
  20. Nejadmalayeri, Ali, 2021. "Asset liquidity, business risk, and beta," Global Finance Journal, Elsevier, vol. 48(C).
  21. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
  22. Edwards, Craig, 2006. "Integrating delta: An intuitive single-integral approach to pricing European options on diverse stochastic processes," Economics Letters, Elsevier, vol. 92(1), pages 20-25, July.
  23. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  24. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Insper Working Papers wpe_89, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  25. Wesseler, J. & Weichert, M., 1999. "Der Wert zusätzlicher Informationen bei Investitionsentscheidungen mit einem hohen Grad an Irreversibilität," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 35.
  26. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
  27. Sven Rady, 1997. "Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)," Finance and Stochastics, Springer, vol. 1(4), pages 331-344.
  28. Lin, Jyh-Horng, 2000. "A contingent claim analysis of a rate-setting financial intermediary," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 375-386, October.
  29. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
  30. Anders, Ulrich & Korn, Olaf & Schmitt, Christian, 1996. "Improving the pricing of options: a neural network approach," ZEW Discussion Papers 96-04, ZEW - Leibniz Centre for European Economic Research.
  31. Sagi, Jacob S. & Seasholes, Mark S., 2007. "Firm-specific attributes and the cross-section of momentum," Journal of Financial Economics, Elsevier, vol. 84(2), pages 389-434, May.
  32. Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E., 2012. "Stock option contract adjustments: The case of special dividends," Journal of Financial Markets, Elsevier, vol. 15(2), pages 233-257.
  33. Milanesi, Gastón Silverio, 2023. "Valoración de estrategias competitivas, acuerdos colaborativos y penalizaciones con Opciones Reales Multinomiales y Teoría de Juegos [Valuation of competitive strategies, collaborative agreements a," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 35(1), pages 360-388, June.
  34. Jackwerth, Jens Carsten & Rubinstein, Mark, 2003. "Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns," MPRA Paper 11638, University Library of Munich, Germany, revised 2004.
  35. McIntyre, Michael L. & Jackson, David, 2009. "Market moves and the information content of option prices," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 327-340, March.
  36. Mark Joshi & Riccardo Rebonato, 2003. "A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 458-469.
  37. Patel, Jinal & Russo, Vincenzo & Fabozzi, Frank J., 2018. "Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies," Finance Research Letters, Elsevier, vol. 25(C), pages 196-201.
  38. Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Post-Print halshs-00188248, HAL.
  39. Mjøs, Aksel & Persson, Svein-Arne, 2010. "Callable risky perpetual debt with protection period," European Journal of Operational Research, Elsevier, vol. 207(1), pages 391-400, November.
  40. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November.
  41. YongChern Su & MingDa Chen & HanChing Huang, 2010. "An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 20(11), pages 899-910.
  42. Yao, Jingtao & Li, Yili & Tan, Chew Lim, 2000. "Option price forecasting using neural networks," Omega, Elsevier, vol. 28(4), pages 455-466, August.
  43. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48, January.
  44. Simona Svoboda-Greenwood, 2009. "Displaced Diffusion as an Approximation of the Constant Elasticity of Variance," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 269-286.
  45. Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
  46. Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 387-404.
  47. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  48. Milanesi, Gastón, 2021. "Modelo de valoración con opciones reales, rejillas trinomial, volatilidad cambiante, sesgo y función isoelástica de utilidad || Valuation model with real options, trinomial lattice, changing volatilit," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 257-273, December.
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