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Sensitivity of option prices via fuzzy Malliavin calculus
Fuzzy Sets and Systems
◽
10.1016/j.fss.2021.11.005
◽
2021
◽
Author(s):
Hossein Jafari
Keyword(s):
Malliavin Calculus
◽
Option Prices
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References
Estimating the tail shape parameter from option prices
The Journal of Risk
◽
10.21314/jor.2017.366
◽
2017
◽
Vol 19
(6)
◽
pp. 85-110
◽
Cited By ~ 2
Author(s):
Kam Hamidieh
Keyword(s):
Shape Parameter
◽
Option Prices
◽
Tail Shape
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Exercise boundaries and efficient approximations to American option prices and hedge parameters
The Journal of Computational Finance
◽
10.21314/jcf.2001.063
◽
2001
◽
Vol 4
(4)
◽
pp. 4-4
◽
Cited By ~ 19
Author(s):
Farid AitSahlia
◽
Tze Leung Lai
Keyword(s):
American Option
◽
Option Prices
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New Bounds on American Option Prices
SSRN Electronic Journal
◽
10.2139/ssrn.1015681
◽
2007
◽
Author(s):
In Joon Kim
◽
Geun Hyuk Chang
◽
Suk-Joon Byun
Keyword(s):
American Option
◽
Option Prices
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The Option-iPoD - The Probability of Default Implied by Option Prices Based on Entropy
SSRN Electronic Journal
◽
10.2139/ssrn.1339927
◽
2009
◽
Author(s):
Christian Capuano
Keyword(s):
Probability Of Default
◽
Option Prices
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Forecasting Future Volatility from Option Prices under the Stochastic Volatility Model
SSRN Electronic Journal
◽
10.2139/ssrn.1416638
◽
2009
◽
Author(s):
Suk-Joon Byun
◽
Sol Kim
◽
Dongwoo Rhee
Keyword(s):
Stochastic Volatility
◽
Stochastic Volatility Model
◽
Option Prices
◽
Volatility Model
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Option Prices, Takeover Announcements, and Stock Returns
SSRN Electronic Journal
◽
10.2139/ssrn.1737162
◽
2011
◽
Author(s):
Edward J. Podolski
◽
Cameron Truong
◽
Madhu Veeraraghavan
Keyword(s):
Stock Returns
◽
Option Prices
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The Evaluation of European Compound Option Prices Under Stochastic Volatility Using Fourier Transform Techniques
SSRN Electronic Journal
◽
10.2139/ssrn.1988578
◽
2011
◽
Author(s):
Susanne Griebsch
Keyword(s):
Fourier Transform
◽
Stochastic Volatility
◽
Option Prices
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Psychology, Stock/FX Trading, and Option Prices
SSRN Electronic Journal
◽
10.2139/ssrn.1992016
◽
2012
◽
Author(s):
Alan Beilis
◽
Jan Dash
◽
Jacqueline Volkman Wise
Keyword(s):
Option Prices
◽
Fx Trading
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Systemic Risk Tradeoffs and Option Prices
SSRN Electronic Journal
◽
10.2139/ssrn.2234786
◽
2012
◽
Cited By ~ 1
Author(s):
Dilip B. Madan
◽
Wim Schoutens
Keyword(s):
Systemic Risk
◽
Option Prices
◽
Risk Tradeoffs
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An Analytical Approximation for European Option Prices Under Stochastic Interest Rate Economy
SSRN Electronic Journal
◽
10.2139/ssrn.2413081
◽
2014
◽
Author(s):
Hideharu Funahashi
Keyword(s):
Interest Rate
◽
Analytical Approximation
◽
Stochastic Interest Rate
◽
Option Prices
◽
European Option
◽
Stochastic Interest
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