[HTML][HTML] Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps
A Bueno-Guerrero, SP Clark - Mathematics, 2023 - mdpi.com
We introduce a novel option pricing model that features stochastic interest rates along with
an underlying price process driven by stochastic string shocks combined with pure jump …
an underlying price process driven by stochastic string shocks combined with pure jump …
[PDF][PDF] How much is your strangle worth? on the relative value of the strangle under the black-scholes pricing model
B Boukai - 2020 - scholarworks.iupui.edu
Trading option strangles is a highly popular strategy often used by market participants to
mitigate volatility risks in their portfolios. We propose a measure of the relative value of a …
mitigate volatility risks in their portfolios. We propose a measure of the relative value of a …
[PDF][PDF] How Much Is Your Strangle Worth? On the Relative Value of the δ-Strangle under the Black-Scholes Pricing Model
B Boukai - academia.edu
Trading option strangles is a highly popular strategy often used by market participants to
mitigate volatility risks in their portfolios. We propose a measure of the relative value of a …
mitigate volatility risks in their portfolios. We propose a measure of the relative value of a …