Mapping of Barrier Option Pricing: A Co-citation Analysis
نویسندگان
چکیده
منابع مشابه
Barrier Option Pricing
This thesis examines the performance of five option pricing models with respect to the pricing of barrier options. The models include the Black-Scholes model and four stochastic volatility models ranging from the single-factor stochastic volatility model first proposed by Heston (1993) to a multi-factor stochastic volatility model with jumps in the spot price process. The stochastic volatility ...
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Svetlozar T. Rachev Chair-Professor, Chair of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe and KIT, Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany and Department of Statistics and Applied Probability, University of California, Santa Barbara, and Chief-Scientist, FinAnalytica Inc. E...
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In this paper we investigate the effects of co-citation proximity on the quality of co-citation analysis through four experiments of co-citation instances found in full-text scientific publications. First, we compared the distributions of co-citation instances at four levels of proximity in journal articles with the traditionally used article-level co-citation counts. Second, we analyzed how co...
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The purpose of this thesis is to investigate the pricing of financial options under the 2-hypergeometricstochastic volatility model. This is an analytically tractable model which has recently been introducedas an attempt to tackle one of the most serious shortcomings of the famous Black and Scholes optionpricing model: the fact that it does not reproduce the volatility smile and ske...
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ژورنال
عنوان ژورنال: Journal of Finance and Accounting
سال: 2019
ISSN: 2330-7331
DOI: 10.11648/j.jfa.20190702.12