A strengthened solution to option manipulation

DOI10.1080/03155986.2022.2044222MaRDI QIDQ5883609zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(1)

• Option pricing for weighted average of asset prices

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