Option pricing model with sentiment
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Publication:315109
DOI10.1007/s11147-015-9118-3zbMath1345.91078OpenAlexW2238540078MaRDI QIDQ315109
Chunpeng Yang, Jianlei Yang, Bin Gao
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
Cites Work
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- The Pricing of Options and Corporate Liabilities
- A closed-form solution for options with ambiguity about stochastic volatility
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- Do option markets correctly price the probabilities of movement of the underlying asset?
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