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Opciones reales incorporando procesos de difusión de saltos en uno o dos subyacentes
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2013)
Hacia un nuevo modelo en la valuación de opciones financieras sobre commodities : el caso agropecuario argentino
(Universidad de San Andrés. Escuela de Administración y Negocios, 2010)
Bid–ask spread and liquidity searching behaviour of informed investors in option markets
(Elsevier, 2018-06)
We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne ...
Term structure movements implicit in Asian option prices
(2008)
In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...