A strengthened solution to option manipulation

DOI10.1080/03155986.2022.2044222OpenAlexW4214669850MaRDI QIDQ5883609FDOQ5883609

Authors: Changyong Zhang 

Publication date: 21 March 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03155986.2022.2044222

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zbMATH Keywords

risk managementpath-dependent optionexecutive compensationfinancial derivativeprice manipulation

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The pricing of options and corporate liabilities
• Spectral Expansions for Asian (Average Price) Options
• Option pricing when underlying stock returns are discontinuous
• On stochastic differential equations
• Exotic option pricing and advanced Lévy models.
• Paul Wilmott introduces quantitative finance. With CD-ROM
• Impact of flexible periodic premiums on variable annuity guarantees
• Exact retrospective Monte Carlo computation of arithmetic average Asian options
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing

Cited In (1)

• Option pricing for weighted average of asset prices

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