Option pricing under short-lived arbitrage: theory and tests
JE Hilliard, J Hilliard - Quantitative Finance, 2017 - Taylor & Francis
Abstract Models in financial economics derived from no-arbitrage assumptions have found
great favour among theoreticians and practitioners. We develop a model of option prices …
great favour among theoreticians and practitioners. We develop a model of option prices …
Financial risk sources and optimal strategies in jump-diffusion frameworks
L Prezioso - 2020 - iris.unitn.it
An optimal dividend problem with investment opportunities, taking into consideration a
source of strategic risk is being considered, as well as the effect of market frictions on the …
source of strategic risk is being considered, as well as the effect of market frictions on the …
Formulation of the Black-Scholes Equation and Stochastic Volatility in Options Pricing
RW DeMonte III - 2017 - search.proquest.com
In this thesis we introduce the concept of the Wiener process and stochastic integration in
order to analyze and derive pricing models for derivatives pricing. We present a construction …
order to analyze and derive pricing models for derivatives pricing. We present a construction …
Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility
J Hilliard - International Journal of Financial Markets and …, 2014 - inderscienceonline.com
We evaluate the performance of delta, delta-gamma and delta-vega hedges on the S&P 500
futures options with a particular focus on importance of daily volatility updating and the use …
futures options with a particular focus on importance of daily volatility updating and the use …