A Black–Scholes user's guide to the Bachelier model-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

A Black–Scholes user's guide to the Bachelier model

Published:2022-02-16 Issue:5 Volume:42 Page:959-980
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Choi Jaehyuk¹^ORCID,Kwak Minsuk²^ORCID,Tee Chyng Wen³^ORCID,Wang Yumeng⁴

Affiliation:

1. HSBC Business School Peking University Shenzhen China

2. Department of Mathematics Hankuk University of Foreign Studies Yongin Republic of Korea

3. Lee Kong Chian School of Business Singapore Management University Singapore

4. Bank of Communications Shanghai China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22315

Reference56 articles.

1. Antonov A. Konikov M. &Spector M.(2015). The free boundary SABR: Natural extension to negative rates.Risk September 1–6.

2. Antonov A. &Spector M.(2012).Advanced analytics for the SABR model.https://ssrn.com/abstract=2026350

3. Théorie de la spéculation

4. The pricing of commodity contracts

5. The Pricing of Options and Corporate Liabilities

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model;Risks;2024-08-27

2. An Analysis of Neural Network Architectures for Deep Quadratic Hedging;2024

3. Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities;Risks;2023-04-28

4. Gaussian Volterra Processes as Models of Electricity Markets;SSRN Electronic Journal;2023

5. Swaption and term structures of volatility risk premiums;SSRN Electronic Journal;2023

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3