option bounds
Recently Published Documents

TOTAL DOCUMENTS

20
(FIVE YEARS 4)

H-INDEX

5
(FIVE YEARS 0)
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Option Pricing

2017 ◽  
Author(s):  
Kerry E. Back
Keyword(s):  
Option Pricing ◽  
American Option ◽  
Option Value ◽  
Black Scholes ◽  
Delta Hedging ◽  
Option Bounds

Options, option portfolios, put‐call parity, and option bounds are explained. Changes of numeraire (measure) are discussed, and the Black‐Scholes formula is derived. The fundamental PDE for an option value is explained. The option greeks are defined, and delta hedging is explained. The smooth pasting condition for valuing an American option is explained.

Non-parametric method for European option bounds

2011 ◽  
Vol 38 (1) ◽  
pp. 109-129 ◽  
Author(s):  
Hsuan-Chu Lin ◽  
Ren-Raw Chen ◽  
Oded Palmon
Keyword(s):  
Parametric Method ◽  
European Option ◽  
Option Bounds ◽  
Non Parametric

scholarly journals Measures of model uncertainty and calibrated option bounds

Optimization ◽  
2009 ◽  
Vol 58 (3) ◽  
pp. 335-350 ◽  
Author(s):  
Mustafa Ç. Pınar
Keyword(s):  
Model Uncertainty ◽  
Option Bounds
Load More ...
Sign in / Sign up

Export Citation Format

Share Document