Northfield Ave.
Wollongong, NSW
Australia
University of Wollongong
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Chinese warrant, intrinsic value, abnormal warrant price, T 1 trading rule, irrational behavior, rational trading strategy
Variance Swaps, Heston Model, Closed-Form Exact Solution, Explicit Formula, Stochastic Volatility
Variance Swaps, Heston Model, Explicit Formulae, Stochastic Volatility
Hard-to-borrow stock; Option pricing; Short-selling; Buy-in
Stochastic optimal control; Application in finance; Optimal portfolio execution problem; Regime-switching price impact; Markov jump system; Coupled differential Riccati equations.
Option pricing, Short sell ban, Calibration, S\&P/ASX 200 index, Out-of-sample.
Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series
Tikhonov Regularisation, Calibration, SABR, Heston model
derivative pricing, trading constraints, risk measures, short selling ban
Continuous-time investment and consumption problem; Return predictability; Linear temporary price impact; Execution costs; Utility maximization.
Down-and-in options, American-style Parisian options, moving window technique, analytical solutions
This is a Wiley Blackwell - Medium Tier paper. Wiley Blackwell - Medium Tier charges $49.00 .
File name: j-9965.pdf Size: 204K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
variance swaps, Heston model, closed-form exact solution, explicit formula, stochastic volatility
