On the performance of the Black and Scholes options pricing formulas during the subprime and Covid‐19 crises

Journal of Corporate Accounting & Finance ◽

10.1002/jcaf.22504 ◽

2021 ◽

Author(s):

Shirley Redroban ◽

Arturo Cifuentes

Keyword(s):

Options Pricing

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Risk-neutralized at-the-money consistent historical distributions in currency options pricing

The Journal of Computational Finance ◽

10.21314/jcf.2002.080 ◽

2002 ◽

Vol 6 (1) ◽

pp. 25-47 ◽

Cited By ~ 3

Author(s):

Nusret Cakici ◽

Kevin Foster

Keyword(s):

Options Pricing ◽

Currency Options

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Options Pricing Via Statistical Learning Techniques: The Support Vector Regression Approach

SSRN Electronic Journal ◽

10.2139/ssrn.1145329 ◽

2008 ◽

Author(s):

Panayiotis C. Andreou ◽

Christakis Charalambous ◽

Spiros Spiridon Martzoukos

Keyword(s):

Support Vector Regression ◽

Statistical Learning ◽

Options Pricing ◽

Support Vector ◽

Learning Techniques ◽

Regression Approach ◽

Statistical Learning Techniques

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Efficient Options Pricing Using the Fast Fourier Transform

SSRN Electronic Journal ◽

10.2139/ssrn.1534544 ◽

2010 ◽

Author(s):

Kwai Sun Leung ◽

Hoi Ying Wong ◽

Yue Kuen Kwok

Keyword(s):

Fourier Transform ◽

Fast Fourier Transform ◽

Options Pricing

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A Supply-Side Options Pricing Model for Explaining the Moment Risk Premia

SSRN Electronic Journal ◽

10.2139/ssrn.3666273 ◽

2020 ◽

Author(s):

PeiLin Billy Hsieh

Keyword(s):

Risk Premia ◽

Options Pricing ◽

Supply Side ◽

Pricing Model ◽

The Moment

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A Comparison between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.590901 ◽

2004 ◽

Cited By ~ 10

Author(s):

Damiano Brigo ◽

Laurent Cousot

Keyword(s):

Market Model ◽

Options Pricing ◽

Stochastic Intensity

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The Use of Options Pricing to Value the Bare Dominium of Property with Long Leases

Journal of Real Estate Literature ◽

10.1080/10835547.2016.12090427 ◽

2016 ◽

Vol 24 (2) ◽

pp. 251-274

Author(s):

Douw G.B. Boshoff

Keyword(s):

Options Pricing

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Tests of CBOE Options Market Efficiency and Arbitrage Opportunities Based on Options Pricing Mathematical Models

2020 Management Science Informatization and Economic Innovation Development Conference (MSIEID) ◽

10.1109/msieid52046.2020.00041 ◽

2020 ◽

Author(s):

Ziye Huang ◽

Xiyue Wu ◽

Zehan Duan

Keyword(s):

Mathematical Models ◽

Market Efficiency ◽

Options Pricing ◽

Options Market ◽

Arbitrage Opportunities

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Assessing Least Squares Monte Carlo for the Kulatilaka Trigeorgis General Real Options Pricing Model

SSRN Electronic Journal ◽

10.2139/ssrn.1153525 ◽

2008 ◽

Cited By ~ 3

Author(s):

Giuseppe Alesii

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Options Pricing ◽

Pricing Model ◽

Least Squares Monte Carlo

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A Unified Tree approach for options pricing under stochastic volatility models

Finance Research Letters ◽

10.1016/j.frl.2016.10.009 ◽

2017 ◽

Vol 20 ◽

pp. 260-268 ◽

Cited By ~ 11

Author(s):

C.C. Lo ◽

D. Nguyen ◽

K. Skindilias

Keyword(s):

Stochastic Volatility ◽

Options Pricing ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Tree Approach

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The essence of B-S Options Pricing Formula

2011 International Conference on Electrical and Control Engineering ◽

10.1109/iceceng.2011.6057435 ◽

2011 ◽

Author(s):

Xiangfei Yin

Keyword(s):

Options Pricing ◽

Pricing Formula

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