Option pricing model with sentiment

DOI10.1007/S11147-015-9118-3MaRDI QIDQ315109zbMATH OpenOpenAlexFDO

Authors Chunpeng Yang, Bin Gao, Jianlei Yang

Publication date 19 September 2016

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-015-9118-3

zbMATH Keywords

option price bubblesoption pricing modeloption sentimentoption volatility smilestock sentiment

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• OPTION PRICING WITH FEEDBACK EFFECTS
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
• How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?
• A non-Gaussian option pricing model with skew
• Option pricing for an uncertain stock model with jumps

Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A closed-form solution for options with ambiguity about stochastic volatility
• Do option markets correctly price the probabilities of movement of the underlying asset?
• Pricing european option under the time-changed mixed Brownian-fractional Brownian model
• The pricing of options and corporate liabilities

Cited in

(1)

• How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?

This page was built for publication: Option pricing model with sentiment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q315109)