Detecting and Repairing Arbitrage in Traded Option Prices

Applied Mathematical Finance ◽

10.1080/1350486x.2020.1846573 ◽

2021 ◽

pp. 1-29

Author(s):

Samuel N. Cohen ◽

Christoph Reisinger ◽

Sheng Wang

Keyword(s):

Option Prices

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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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