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An Empirical Comparison of Option-Pricing Models in Hedging Exotic Options

Authors: An, Yunbi; Suo, Wulin

Source: Financial Management, Volume 38, Number 4, Winter 2009 , pp. 889-914(26)

Publisher: Blackwell Publishing

Displaced Diffusion as an Approximation of the Constant Elasticity of Variance

Author: Svoboda-Greenwood, Simona

Source: Applied Mathematical Finance, Volume 16, Number 3, 2009 , pp. 269-286(18)

Publisher: Routledge, part of the Taylor & Francis Group

The Valuation of American Options with Stochastic Stopping Time Constraints

Authors: Egloff, Daniel; Leippold, Markus

Source: Applied Mathematical Finance, Volume 16, Number 3, 2009 , pp. 287-305(19)

Publisher: Routledge, part of the Taylor & Francis Group

Simulation-Based Estimation of Contingent-Claims Prices

Authors: Phillips, Peter C. B.; Yu, Jun

Source: Review of Financial Studies, Volume 22, Number 9, 2 September 2009 , pp. 3669-3705(37)

Publisher: Oxford University Press

Avoiding market dominance: product compatibility in markets with network effects

Authors: Chen, Jiawei; Doraszelski, Ulrich; Harrington Jr., Joseph E.

Source: The RAND Journal of Economics, Volume 40, Number 3, Autumn 2009 , pp. 455-485(31)

Publisher: Blackwell Publishing

Pricing Final Indemnification Payments to Private Sponsors in Project-Financed Public-Private Partnerships: An Application of Real Options Valuation

Authors: Caselli, Stefano; Gatti, Stefano; Marciante, Antonio

Source: Journal of Applied Corporate Finance, Volume 21, Number 3, Summer 2009 , pp. 95-106(12)

Publisher: Blackwell Publishing

Portfolio theory and how parent birds manage investment risk

Author: Forbes, Scott

Source: Oikos, Volume 118, Number 10, October 2009 , pp. 1561-1569(9)

Publisher: Blackwell Publishing

THE ECONOMIC VALUE OF USING REALIZED VOLATILITY IN FORECASTING FUTURE IMPLIED VOLATILITY

Authors: Chan, Wing Hong; Jha, Ranjini; Kalimipalli, Madhu

Source: The Journal of Financial Research, Volume 32, Number 3, Fall 2009 , pp. 231-259(29)

Publisher: Blackwell Publishing

Option Pricing Approach to International Reserves

Author: Lee, Jaewoo

Source: Review of International Economics, Volume 17, Number 4, September 2009 , pp. 844-860(17)

Publisher: Blackwell Publishing

Estimating unobservable valuation parameters for illiquid assets

Authors: Boyle, Glenn; Guthrie, Graeme; Quigley, Neil

Source: Accounting and Finance, Volume 49, Number 3, September 2009 , pp. 465-479(15)

Publisher: Blackwell Publishing

Direct simulation of price particles for option pricing using Monte-Carlo

Authors: Thulasiram, Ruppa K.; Thulasiram, Parimala; Reddy, K.P.J.

Source: International Journal of Aerospace Innovations, Volume 1, Number 2, June 2009 , pp. 89-99(11)

Publisher: Multi-Science Publishing Co Ltd

Empirical of the Taiwan stock index option price forecasting model - applied artificial neural network

Authors: Lin, Chin-Tsai; Yeh, Hsin-Yi

Source: Applied Economics, Volume 41, Number 15, June 2009 , pp. 1965-1972(8)

Publisher: Routledge, part of the Taylor & Francis Group

Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility

Authors: Hofmann, B.; Kramer, R.; Richter, M.

Source: International Journal of Computer Mathematics, Volume 86, Number 6, June 2009 , pp. 992-1008(17)

Publisher: Taylor and Francis Ltd

High-order compact scheme for solving nonlinear Black-Scholes equation with transaction cost

Authors: Liao, Wenyuan; Khaliq, Abdul

Source: International Journal of Computer Mathematics, Volume 86, Number 6, June 2009 , pp. 1009-1023(15)

Publisher: Taylor and Francis Ltd

An efficient implementation of a least squares Monte Carlo method for valuing American-style options

Author: Jonen, Christian

Source: International Journal of Computer Mathematics, Volume 86, Number 6, June 2009 , pp. 1024-1039(16)

Publisher: Taylor and Francis Ltd

A fourth-order smoothing scheme for pricing barrier options under stochastic volatility

Author: Yousuf, M.

Source: International Journal of Computer Mathematics, Volume 86, Number 6, June 2009 , pp. 1054-1067(14)

Publisher: Taylor and Francis Ltd

Option pricing in the presence of random arbitrage return

Authors: Choi, Jungmin; Gunzburger, Max

Source: International Journal of Computer Mathematics, Volume 86, Number 6, June 2009 , pp. 1068-1081(14)

Publisher: Taylor and Francis Ltd

Analytical approximation method of option pricing under geometric mean-reverting process

Author: Liu, R. H.

Source: International Journal of Computer Mathematics, Volume 86, Number 6, June 2009 , pp. 1082-1092(11)

Publisher: Taylor and Francis Ltd

Optimal strategy models to maximise revenues in online auctions with 'buy it now'

Authors: Zhou, Jing; Lv, Hao; Yang, Hui

Source: International Journal of Revenue Management, Volume 3, Number 4, 3 August 2009 , pp. 393-407(15)

Publisher: Inderscience Publishers

Commitments through financial options: an alternative for delivering climate change obligations

Authors: Ismer, Roland; Neuhoff, Karsten

Source: Climate Policy, Volume 9, Number 1, 2009 , pp. 9-21(13)

Publisher: Earthscan