Literatura académica sobre el tema "Option Pricing"
Crea una cita precisa en los estilos APA, MLA, Chicago, Harvard y otros
Consulte las listas temáticas de artículos, libros, tesis, actas de conferencias y otras fuentes académicas sobre el tema "Option Pricing".
Junto a cada fuente en la lista de referencias hay un botón "Agregar a la bibliografía". Pulsa este botón, y generaremos automáticamente la referencia bibliográfica para la obra elegida en el estilo de cita que necesites: APA, MLA, Harvard, Vancouver, Chicago, etc.
También puede descargar el texto completo de la publicación académica en formato pdf y leer en línea su resumen siempre que esté disponible en los metadatos.
Artículos de revistas sobre el tema "Option Pricing"
Jensen, Bjarne Astrup y Jørgen Aase Nielsen. "OPTION PRICING BOUNDS AND THE PRICING OF BOND OPTIONS". Journal of Business Finance & Accounting 23, n.º 4 (junio de 1996): 535–56. http://dx.doi.org/10.1111/j.1468-5957.1996.tb01025.x.
Texto completoLi, Feng. "Option Pricing". Journal of Derivatives 7, n.º 4 (31 de mayo de 2000): 49–65. http://dx.doi.org/10.3905/jod.2000.319134.
Texto completoLord, Richard. "Option pricing". Journal of Banking & Finance 10, n.º 1 (marzo de 1986): 157–61. http://dx.doi.org/10.1016/0378-4266(86)90028-2.
Texto completoMitra, Sovan. "Multifactor option pricing: pricing bounds and option relations". International Journal of Applied Decision Sciences 3, n.º 1 (2010): 15. http://dx.doi.org/10.1504/ijads.2010.032238.
Texto completoBlake, D. "Option pricing models". Journal of the Institute of Actuaries 116, n.º 3 (diciembre de 1989): 537–58. http://dx.doi.org/10.1017/s0020268100036696.
Texto completoGuo, Yuanyuan. "Comparative Analysis of the Application of Monte Carlo Model and BSM Model in European Option Pricing". BCP Business & Management 32 (22 de noviembre de 2022): 43–48. http://dx.doi.org/10.54691/bcpbm.v32i.2856.
Texto completoRyszard, Kokoszczyński, Sakowski Paweł y Ślepaczuk Robert. "Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options". Central European Economic Journal 4, n.º 51 (1 de abril de 2019): 18–39. http://dx.doi.org/10.1515/ceej-2018-0010.
Texto completoBehera, Prashanta kumar y Dr Ramraj T. Nadar. "Dynamic Approach for Index Option Pricing Using Different Models". Journal of Global Economy 13, n.º 2 (26 de junio de 2017): 105–20. http://dx.doi.org/10.1956/jge.v13i2.460.
Texto completoStamatopoulos, Nikitas, Daniel J. Egger, Yue Sun, Christa Zoufal, Raban Iten, Ning Shen y Stefan Woerner. "Option Pricing using Quantum Computers". Quantum 4 (6 de julio de 2020): 291. http://dx.doi.org/10.22331/q-2020-07-06-291.
Texto completoShao, Zeyuan. "Pricing Technique for European Option and Application". Highlights in Business, Economics and Management 14 (12 de junio de 2023): 14–18. http://dx.doi.org/10.54097/hbem.v14i.8930.
Texto completoTesis sobre el tema "Option Pricing"
Bieta, Volker, Udo Broll y Wilfried Siebe. "Strategic option pricing". Technische Universität Dresden, 2020. https://tud.qucosa.de/id/qucosa%3A71719.
Texto completo劉伯文 y Pak-man Lau. "Option pricing: a survey". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31977911.
Texto completoGu, Chenchen. "Option Pricing Using MATLAB". Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/382.
Texto completoLau, Pak-man. "Option pricing : a survey /". [Hong Kong : University of Hong Kong], 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B14386057.
Texto completoMatsumoto, Manabu. "Options on portfolios of options and multivariate option pricing and hedging". Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324627.
Texto completoNeset, Yngvild. "Spectral Discretizations of Option Pricing Models for European Put Options". Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2014. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-26546.
Texto completoCompiani, Vera. "Particle methods in option pricing". Master's thesis, Alma Mater Studiorum - Università di Bologna, 2017. http://amslaurea.unibo.it/13896/.
Texto completoBelova, Anna y Tamara Shmidt. "Meshfree methods in option pricing". Thesis, Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16383.
Texto completoPour, Abdollah Farshchi Elham. "Option Pricing with Extreme Events". Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-161963.
Texto completoWiklund, Erik. "Asian Option Pricing and Volatility". Thesis, KTH, Matematisk statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-93714.
Texto completoSammanfattning En Asiatisk option är en vägberoende exotisk option, vilket betyder att antingen settlement-priset eller strike-priset beräknas utifrån någon form av aggregering av underliggande tillgångens priser under optionens livstid. Denna uppsats fokuserar på Aritmetiska Asiatiska optioner av Europeisk karaktär där settlement-priset vid lösen bestäms av det aritmetiska medelvärdet av underliggande tillgångens priser de sista sju dagarna. För denna typ av option finns det inga slutna analytiska formler för att beräkna optionens teoretiska värde. Det finns dock slutna approximativa formler för värdering av denna typ av optioner. En sådan, som används i denna uppsats, approximerar värdet av en Aritmetisk Asiatisk option genom att betinga värderingen på det geometriska medelpriset. För att utvärdera noggrannheten i denna approximation och för att se om det är möjligt att använda den väl kända Black-Scholes-formeln för att värdera Asiatiska optioner, så analyseras differenserna mellan Monte-Carlo-simulering och dessa slutna formlers värderingar i denna uppsats. Differenserna analyseras utifrån ett flertal olika scenarion för volatiliteten. I allmänhet så fungerar Asiatapproximationsformeln bra för värdering av Asiatiska optioner. För volatilitetsscenarion som innebär en drastisk volatilitetsförändring och där den perioden med högre volatilitet ligger innan optionens medelvärdesperiod, så undervärderar Asiatapproximationen optionens värde. Dessa undervärderingar är mycket påtagliga för OTM-optioner, avtar för ATM-optioner och är små, om än signifikanta, för ITM-optioner. Black-Scholes formel övervärderar i allmänhet Asiatiska optioners värde. Detta är väntat då Black-Scholes formel är ämnad för standard Europeiska optioner, vilka endast beaktar underliggande tillgångens pris vid optionens slutdatum som settlement-pris. Detta pris är i snitt högre än Asiatisk optioners settlement-pris när underliggande tillgångens pris har en positiv drift. Men, för vissa volatilitetsscenarion som innebär en drastisk volatilitetsförändring och där den perioden med högra volatilitet ligger innan optionens medelvärdesperiod, så undervärderar även Black-Scholes formel optionens värde. Som för Asiatapproximationen så är dessa över- och undervärderingar mycket påtagliga för OTM-optioner och avtar för ATM och ITM-optioner.
Libros sobre el tema "Option Pricing"
K, Sarkar Salil, ed. Option pricing. Hull: MCB University Press, 1995.
Buscar texto completoClark, Iain J. Commodity Option Pricing. Chichester, UK: John Wiley & Sons, Ltd, 2014. http://dx.doi.org/10.1002/9781118871782.
Texto completoClark, Iain J., ed. Foreign Exchange Option Pricing. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119208679.
Texto completoPerrakis, Stylianos. Stochastic Dominance Option Pricing. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-11590-6.
Texto completoBates, David S. Testing option pricing models. Cambridge, MA: National Bureau of Economic Research, 1995.
Buscar texto completo1950-, Bookstaber Richard M., ed. Option pricing & investment strategies. Chicago, Ill: Probus Pub. Co., 1987.
Buscar texto completoFriedman, Michael. Option pricing - the binomial. Oxford: Oxford Brookes Univerisity, 2004.
Buscar texto completoGarleanu, Nicolae. Demand-based option pricing. Cambridge, Mass: National Bureau of Economic Research, 2005.
Buscar texto completoRajan, Raghuram. Pricing commodity bonds using binomial option pricing. Washington, DC (1818 H St., N.W., Washington 20433): International Economics Dept., the World Bank, 1988.
Buscar texto completoHigh performance options trading: Option volatility & pricing strategies. Hoboken, N.J: J. Wiley, 2003.
Buscar texto completoCapítulos de libros sobre el tema "Option Pricing"
Pilbeam, Keith. "Option Pricing". En Finance and Financial Markets, 388–411. London: Macmillan Education UK, 2005. http://dx.doi.org/10.1007/978-1-349-26273-1_15.
Texto completoMostafa, Fahed, Tharam Dillon y Elizabeth Chang. "Option Pricing". En Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk, 113–35. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-51668-4_7.
Texto completoZumbach, Gilles. "Option Pricing". En Springer Finance, 233–55. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-31742-2_16.
Texto completoDe Luca, Pasquale. "Option Pricing". En Springer Texts in Business and Economics, 549–67. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-18300-3_27.
Texto completoLindquist, W. Brent, Svetlozar T. Rachev, Yuan Hu y Abootaleb Shirvani. "Option Pricing". En Dynamic Modeling and Econometrics in Economics and Finance, 197–226. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-15286-3_12.
Texto completoKorn, Ralf y Elke Korn. "Option pricing". En Graduate Studies in Mathematics, 79–151. Providence, Rhode Island: American Mathematical Society, 2000. http://dx.doi.org/10.1090/gsm/031/03.
Texto completoPilbeam, Keith. "Option Pricing". En Finance & Financial Markets, 371–92. London: Macmillan Education UK, 2010. http://dx.doi.org/10.1007/978-1-137-09043-0_15.
Texto completoKallsen, Jan. "Option Pricing". En Handbook of Financial Time Series, 599–613. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-540-71297-8_26.
Texto completoPilbeam, Keith. "Option Pricing". En Finance & Financial Markets, 352–72. London: Macmillan Education UK, 2018. http://dx.doi.org/10.1057/978-1-137-51563-6_15.
Texto completoDempsey, Michael. "Option pricing". En Financial Risk Management and Derivative Instruments, 200–212. Milton Park, Abingdon, Oxon ; New York, NY : Routledge, 2021. | Series: Routledge advanced text in economics and finance: Routledge, 2021. http://dx.doi.org/10.4324/9781003132240-15.
Texto completoActas de conferencias sobre el tema "Option Pricing"
Suo, Simon, Ruiming Zhu, Ryan Attridge y Justin Wan. "GPU option pricing". En SC15: The International Conference for High Performance Computing, Networking, Storage and Analysis. New York, NY, USA: ACM, 2015. http://dx.doi.org/10.1145/2830556.2830564.
Texto completoCutland, N. J., P. E. Kopp y W. Willinger. "Nonstandard methods in option pricing". En Proceedings of the 30th IEEE Conference on Decision and Control. IEEE, 1991. http://dx.doi.org/10.1109/cdc.1991.261595.
Texto completoWang, Zhaohai. "Option Pricing in Incomplete Markets". En 2013 International Conference on Advanced Information Engineering and Education Science (ICAIEES 2013). Paris, France: Atlantis Press, 2013. http://dx.doi.org/10.2991/icaiees-13.2013.52.
Texto completoAboura, Khalid y Johnson I. Agbinya. "Option pricing with informed judgment". En 2013 Pan African International Conference on Information Science, Computing and Telecommunications (PACT). IEEE, 2013. http://dx.doi.org/10.1109/scat.2013.7055092.
Texto completoSAMMARTINO, MARCO. "ASYMPTOTIC METHODS IN OPTION PRICING". En Proceedings of the 12th Conference on WASCOM 2003. WORLD SCIENTIFIC, 2004. http://dx.doi.org/10.1142/9789812702937_0056.
Texto completoGuo, Xin. "Some Lookback Option Pricing Problems". En Proceedings of the International Conference on Mathematical Finance. WORLD SCIENTIFIC, 2001. http://dx.doi.org/10.1142/9789812799579_0004.
Texto completoSolomon, S., R. K. Thulasiram y P. Thulasiraman. "Option Pricing on the GPU". En 2010 IEEE 12th International Conference on High Performance Computing and Communications (HPCC 2010). IEEE, 2010. http://dx.doi.org/10.1109/hpcc.2010.54.
Texto completoJianhua Wang y Dan Li. "Stable distribution and option pricing". En 2011 International Conference on Multimedia Technology (ICMT). IEEE, 2011. http://dx.doi.org/10.1109/icmt.2011.6002644.
Texto completoPrimbs, J. A. "Option pricing bounds via semidefinite programming". En 2006 American Control Conference. IEEE, 2006. http://dx.doi.org/10.1109/acc.2006.1656391.
Texto completoYuzhanin, Artur, Ivan Gankevich, Eduard Stepanov y Vladimir Korkhov. "Efficient Asian option pricing with CUDA". En 2015 International Conference on High Performance Computing & Simulation (HPCS). IEEE, 2015. http://dx.doi.org/10.1109/hpcsim.2015.7237103.
Texto completoInformes sobre el tema "Option Pricing"
Chalasani, P., I. Saias y S. Jha. Approximate option pricing. Office of Scientific and Technical Information (OSTI), abril de 1996. http://dx.doi.org/10.2172/373883.
Texto completoBates, David. Testing Option Pricing Models. Cambridge, MA: National Bureau of Economic Research, mayo de 1995. http://dx.doi.org/10.3386/w5129.
Texto completoGarleanu, Nicolae, Lasse Heje Pedersen y Allen Poteshman. Demand-Based Option Pricing. Cambridge, MA: National Bureau of Economic Research, diciembre de 2005. http://dx.doi.org/10.3386/w11843.
Texto completoBates, David. Empirical Option Pricing Models. Cambridge, MA: National Bureau of Economic Research, diciembre de 2021. http://dx.doi.org/10.3386/w29554.
Texto completoAsea, Patrick y Mthuli Ncube. Heterogeneous Information Arrival and Option Pricing. Cambridge, MA: National Bureau of Economic Research, marzo de 1997. http://dx.doi.org/10.3386/w5950.
Texto completoRosenberg, Joshua y Robert Engle. Option Hedging Using Empirical Pricing Kernels. Cambridge, MA: National Bureau of Economic Research, octubre de 1997. http://dx.doi.org/10.3386/w6222.
Texto completoAit-Sahalia, Yacine y Jefferson Duarte. Nonparametric Option Pricing under Shape Restrictions. Cambridge, MA: National Bureau of Economic Research, mayo de 2002. http://dx.doi.org/10.3386/w8944.
Texto completoRojas-Bernal, Alejandro y Mauricio Villamizar-Villegas. Pricing the exotic: Path-dependent American options with stochastic barriers. Banco de la República de Colombia, marzo de 2021. http://dx.doi.org/10.32468/be.1156.
Texto completoDumas, Bernard, L. Peter Jennergren y Bertil Naslund. Currency Option Pricing in Credible Target Zones. Cambridge, MA: National Bureau of Economic Research, noviembre de 1993. http://dx.doi.org/10.3386/w4522.
Texto completoLo, Andrew y Jiang Wang. Implementing Option Pricing Models When Asset Returns Are Predictable. Cambridge, MA: National Bureau of Economic Research, abril de 1994. http://dx.doi.org/10.3386/w4720.
Texto completo