American option pricing under financial crisis
DOI10.1002/ASMB.2310zbMATH Open1420.91472OpenAlexW2794178062MaRDI QIDQ4620243FDOQ4620243
Authors: Xuemei Luo, Kaili Xiang, Chuan Ding 
Publication date: 8 February 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2310
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Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40)
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- Effect of institutional deleveraging on option valuation problems
- Efficient option pricing in crisis based on dynamic elasticity of variance model
- Post-'87 crash fears in the S\&P 500 futures option market
- An improved Barone-Adesi Whaley formula for turbulent markets
- A homotopy analysis method for the option pricing PDE in post-crash markets
- Unlocking the black box: non-parametric option pricing before and during COVID-19
- No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
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