SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing, no-arbitrage bounds and robust hedging of instalment options
12 references·8 citing·35 second hop
Pricing, no-arbitrage bounds and robust hedging of instalment options (2001)Pricing, no-arbitrage bounds and robust h…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …STATIC HEDGING OF EXOTIC OPTIONS (1999)STATIC HEDGING OF EXOTIC OPTI…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Static Options Replication (1995)Static Options ReplicationVariational inequalities and the pricing of American options (1990)Variational inequalities and …The Use of the Control Variate Technique in Option Pricing (1988)The Use of the Control Variat…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…On the Evaluation of Compound Options (1987)On the Evaluation of Compound…The valuation of compound options (1979)The valuation of compound opt…The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Static hedging and pricing American knock-in put options (2012)Static hedging and pricing Am…Valuing continuous-installment options (2009)Valuing continuous-installmen…American Continuous-Installment Options: Valuation and Premium Decomposition (2009)American Continuous-Installme…Valuation of American Continuous-Installment Options (2005)Valuation of American Continu…The Evaluation of Venture Capital as an Instalment Option: Valuing Real Options Using Real Options (2004)The Evaluation of Venture Cap…A dynamic programming approach to price installment options (2004)A dynamic programming approac…Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation (2002)Static versus Dynamic Hedging…Installment Options and Static Hedging (2002)Installment Options and Stati…Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Theory of rational option pricing (2005)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)Arbitrage Theory in Continuous Time (2004)Martingales and stochastic integrals in the theory of continuous trading (1981)Foreign currency option values (1983)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Multigrid for American option pricing with stochastic volatility (1999)PDE methods for pricing barrier options (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The American Put Option Valued Analytically (1984)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)Option pricing: A simplified approach (1979)Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments (1991)On the Rate of Convergence of Discrete‐Time Contingent Claims (2000)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)The valuation of American barrier options using the decomposition technique (2000)Calibration and hedging under jump diffusion (2007)Robust Hedging of Double Touch Barrier Options (2011)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Measuring and Testing the Impact of News on Volatility (1993)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1979The valuation of compound options1,107 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 1990Variational inequalities and the pricing of American options424 cited
  • 1988The Use of the Control Variate Technique in Option Pricing204 cited
  • 1995Static Options Replication191 cited
  • 1999STATIC HEDGING OF EXOTIC OPTIONS181 cited
  • 1987On the Evaluation of Compound Options57 cited

Cited by

  • 2002Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation42 cited
  • 2002Installment Options and Static Hedging34 cited
  • 2004A dynamic programming approach to price installment options33 cited
  • 2009Valuing continuous-installment options

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

29 cited
  • 2005Valuation of American Continuous-Installment Options28 cited
  • 2009American Continuous-Installment Options: Valuation and Premium Decomposition24 cited
  • 2012Static hedging and pricing American knock-in put options24 cited
  • 2004The Evaluation of Venture Capital as an Instalment Option: Valuing Real Options Using Real Options24 cited