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Option pricing with futures‐style margining
6 references·9 citing·33 second hop
Option pricing with futures‐style margining (1990)Option pricing with futures‐style margini…Valuation of American Futures Options: Theory and Empirical Tests (1986)Valuation of American Futures…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The pricing of commodity contracts (1976)The pricing of commodity cont…Option pricing (1976)Option pricingTheory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Interest rate forecasts, state price densities and risk premium from Euribor options (2014)Interest rate forecasts, stat…The Information Content of Model‐Free Implied Volatility (2012)The Information Content of Mo…PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS (2012)PRICING AND HEDGING SHORT STE…Implied risk-neutral probability density functions from option prices (2007)Implied risk-neutral probabil…Improving Option Pricing With the Product Constrained Hybrid Neural Network (2004)Improving Option Pricing With…The Pricing of Marked†to†Market Contingent Claims in a No†Arbitrage Economy (1997)The Pricing of Marked†to†…Valuing foreign exchange rate derivatives with a bounded exchange process (1996)Valuing foreign exchange rate…Upper bounds for american futures options: A note (1994)Upper bounds for american fut…Pricing interest rate futures options with futures‐style margining (1993)Pricing interest rate futures…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The information content of option prices and a test of market efficiency (1978)A Quick Algorithm for Pricing European Average Options (1991)Striking oil: Another puzzle? (2008)Option pricing in the presence of natural boundaries and a quadratic diffusion term (1997)Theory of rational option pricing (2005)Chapter 6 Spectral Methods in Derivatives Pricing (2007)Option pricing with quadratic volatility: a revisit (2010)Efficient Analytic Approximation of American Option Values (1987)Analytical Upper Bounds for American Option Prices (2002)FOMC Forward Guidance and Investor Beliefs (2015)A Theory of the Term Structure of Interest Rates (1985)Reading PIBOR futures options smiles: The 1997 snap election (2001)What moves option-implied bond market expectations? (2005)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option pricing when underlying stock returns are discontinuous (1976)The Pricing of Options on Assets with Stochastic Volatilities (1987)Neuro-evolutionary approach to stock market prediction (2007)Generalized parameter functions for option pricing (2009)Neuro-genetic system for stock index prediction (2011)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Suckers Are Born but Markets Are Made: Individual Rationality, Arbitrage, and Market Efficiency on an Electronic Futures Market (2004)The Determinants of Credit Default Swap Premia (2004)A Nonlinear Factor Analysis of S&P 500 Index Option Returns (2006)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1976Option pricing473 cited
  • 1986Valuation of American Futures Options: Theory and Empirical Tests175 cited

Cited by

  • 1996Valuing foreign exchange rate derivatives with a bounded exchange process55 cited
  • 1993Pricing interest rate futures options with futures‐style margining49 cited
  • 2004Improving Option Pricing With the Product Constrained Hybrid Neural Network40 cited
  • 1994Upper bounds for american futures options: A note28 cited
  • 2007Implied risk-neutral probability density functions from option prices25 cited
  • 2012The Information Content of Model‐Free Implied Volatility23 cited
  • 2014Interest rate forecasts, state price densities and risk premium from Euribor options20 cited
  • 2012PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS20 cited
  • 1997The Pricing of Marked†to†Market Contingent Claims in a No†Arbitrage Economy18 cited

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