The information content of interest-rate option prices
Fabio Fornari, Carlo Monticelli (1998)
Journal de la société française de statistique
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Displaying similar documents to “The price of liquidity in constant leverage strategies.”
The information content of interest-rate option prices
Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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Subprime risk and insurance with regret.
Petersen, M.A., Mukuddem-Petersen, J., Mulaudzi, M.P., De Waal, B., Schoeman, I.M. (2010)
Discrete Dynamics in Nature and Society
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Risk and uncertainty aversion with multidimensional consequences.
ALDO MONTESANO (1999)
Revista de la Real Academia de Ciencias Exactas Físicas y Naturales
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On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Nonexpansive maps and option pricing theory
Vassili N. Kolokoltsov (1998)
Kybernetika
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The famous Black–Sholes (BS) and Cox–Ross–Rubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated stochastic models for common stocks pricing evolution. In this paper we develop systematically a deterministic approach to the option pricing that leads to a different type of generalisations of BS...
Computational exploration of the biological basis of Black-Scholes expected utility function.
Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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On the Measurement of financial market integration
Alejandro Balbás, Miguel Mirás, María José Muñoz (1998)
Revista de la Real Academia de Ciencias Exactas Físicas y Naturales
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