354 search results - page 5 / 71 » Approximate Option Pricing |
CORR
2004
Springer
14 years 11 months ago
2004
Springer
We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multivariate genera...
APJOR
2011
13 years 11 months ago
2011
FS
2010
14 years 10 months ago
2010
We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
FS
2006
14 years 11 months ago
2006
In the paper by Melnikov and Petrachenko `On option pricing in binomial market with transaction costs,' Finance Stoch. 9 (2005), 141
HPCS
2005
IEEE
15 years 5 months ago
2005
IEEE
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...