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EFMA 2004 Basel Meetings (Archive)

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Viewing: 1 - 17 of 17 papers

1.

Option Pricing Model: Comparing Louis Bachelier with Black-Scholes Merton

Number of pages: 45 Posted: 22 May 2016
Working Paper Series
University of St Joseph
Downloads 1,028
2.

Internal Capital Market and Dividend Policies: Evidence from Business Groups

AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 03 Jan 2005 Last Revised: 31 Aug 2011
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Stanford University
Downloads 871
3.

Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing

Number of pages: 15 Posted: 14 Feb 2018
Working Paper Series
Independent
Downloads 286
4.

Risk Premia in Option Markets

Robert H. Smith School Research Paper No. RHS 2635650
Number of pages: 27 Posted: 26 Jul 2015
Working Paper Series
University of Maryland - Robert H. Smith School of Business
Downloads 281
6.

Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations

Number of pages: 49 Posted: 11 Nov 2016 Last Revised: 30 Aug 2018
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Zurich
Downloads 126
7.

Smart Derivative Contracts (Presentation Slides of the 14th Quant Finance Conference)

Number of pages: 43 Posted: 19 Nov 2018
Working Paper Series
Ludwig Maximilian University of Munich - Department of Mathematics and DZ Bank AG
Downloads 121
8.

Pricing and Hedging of European Plain Vanilla Options under Jump Uncertainty

Number of pages: 45 Posted: 03 May 2016 Last Revised: 12 Jun 2016
Working Paper Series
Dublin City University - School of Mathematical Sciences
Downloads 71
9.

Volatility Discovery and Volatility Quoting on Markets for Options and Warrants

Number of pages: 43 Posted: 03 Oct 2017
Working Paper Series
University of Hagen, Auckland University of Technology - Faculty of Business & Law and University of Hagen
Downloads 66
10.

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

BIS Working Paper No. 521
Number of pages: 48 Posted: 15 Oct 2015
Working Paper Series
McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 65
11.

Cliquet Option Pricing with Meixner Processes

Modern Stochastics: Theory and Applications, 2018, Vol. 5, No. 1, pp. 81-97
Number of pages: 16 Posted: 11 Aug 2017 Last Revised: 09 Oct 2018
Accepted Paper Series
Université Libre de Bruxelles (ULB)
Downloads 58
12.

Examination of Potential Misrepresentation in CMBS

Number of pages: 47 Posted: 03 Feb 2016
Working Paper Series
University of Texas at Austin - Department of Economics
Downloads 47
13.

Pathwise Moderate Deviations for Option Pricing

Number of pages: 25 Posted: 21 Jun 2018
Working Paper Series
Imperial College London and Boston University
Downloads 5
14.

Efficient Variations of the Fourier Transform in Applications to Option Pricing

Journal of Computational Finance, Vol. 18, No. 2, 2014
Number of pages: 34 Posted: 04 Jun 2016
Accepted Paper Series
University of Texas at Austin - Department of Economics and University of Leicester
15.

On the Application of Spectral Filters in a Fourier Option Pricing Technique

Journal of Computational Finance, Vol. 19, No. 1, Pages 75–106, 2015,
Number of pages: 32 Posted: 15 Jun 2016
Accepted Paper Series
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)

Multiple version iconThere are 2 versions of this paper

16.

Optimal Timing of Wind Farm Repowering: A Two-Factor Real Options Analysis

Journal of Energy Markets, Vol. 7, No. 3, 2014
Number of pages: 32 Posted: 06 Jun 2016
Accepted Paper Series
RWTH Aachen University and RWTH Aachen University
17.

Pricing and Hedging Multiasset Spread Options Using a Three-Dimensional Fourier Cosine Series Expansion Method

Journal of Energy Markets, Vol. 7, No. 2, 2014
Number of pages: 22 Posted: 06 Jun 2016
Accepted Paper Series
affiliation not provided to SSRN and E.ON Global Commodities