Pricing and hedging American options: a recursive integration method

J Huang, MG Subrahmanyam… - The Review of Financial …, 1996 - academic.oup.com
In this article, we present a new method for pricing and hedging American options along with
an efficient implementation procedure. The proposed method is efficient and accurate in …

Correlation risk and optimal portfolio choice

A Buraschi, P Porchia, F Trojani - The Journal of Finance, 2010 - Wiley Online Library
We develop a new framework for multivariate intertemporal portfolio choice that allows us to
derive optimal portfolio implications for economies in which the degree of correlation across …

The valuation of American options on multiple assets

M Broadie, J Detemple - Mathematical Finance, 1997 - Wiley Online Library
In this paper we provide valuation formulas for several types of American options on two or
more assets. Our contribution is twofold. First, we characterize the optimal exercise regions …

Introduction and expiration effects of derivative equity warrants in Hong Kong

KC Chen, L Wu - International Review of Financial Analysis, 2001 - Elsevier
This study empirically examines the impacts of introduction and expiration of derivative
equity warrants on both price and trading volume of the underlying securities in Hong Kong …

[PDF][PDF] S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula

CJ Corrado, T Su - Journal of Futures Markets: Futures, Options …, 1996 - researchgate.net
The Black-Scholes (1973) option pricing model is a universal standard among option
valuation models. Despite its widespread popularity, however, the model has some known …

Stale prices and strategies for trading mutual funds

J Boudoukh, M Richardson… - Financial Analysts …, 2002 - Taylor & Francis
We demonstrate that an institutional feature of numerous mutual funds—funds managing
billions in assets—generates fund net asset values that reflect stale prices. Because …

[HTML][HTML] Pricing currency option in a mixed fractional Brownian motion with jumps environment

F Shokrollahi, A Kılıçman - Mathematical Problems in Engineering, 2014 - hindawi.com
A new framework for pricing the European currency option is developed in the case where
the spot exchange rate fellows a mixed fractional Brownian motion with jumps. The jump …

[BOOK][B] Options on foreign exchange

DF DeRosa - 2011 - books.google.com
A comprehensive guide to the world's largest financial market Foreign exchange is the
world's largest financial market and continues to grow at a rapid pace. As economies …

[PDF][PDF] Pricing foreign currency and cross-currency options under GARCH

JC Duan, JZ Wei - Journal of Derivatives, 1999 - Citeseer
The main objective of this paper is to propose an alternative valuation framework for pricing
foreign currency and cross-currency options, which is capable of accommodating existing …

Quanto lookback options

M Dai, HY Wong, YK Kwok - Mathematical finance: an …, 2004 - Wiley Online Library
The lookback feature in a quanto option refers to the payoff structure where the terminal
payoff of the quanto option depends on the realized extreme value of either the stock price …