APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES

DOI10.1142/S0219024923500048OpenAlexW4319661745MaRDI QIDQ5889366FDOQ5889366

Authors: Yves Rakotondratsimba 

Publication date: 20 April 2023

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024923500048

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zbMATH Keywords

optionsriskBlack-Scholesdelta-gamma

Mathematics Subject Classification ID

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

Cites Work

• Robust Locally Weighted Regression and Smoothing Scatterplots
• Locally-weighted regression: an approach to regression analysis by local fitting
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes

Cited In (6)

• Option pricing for large agents
• Option pricing for a large trader with price impact and liquidity costs
• Risk adjustments of option prices under time-changed dynamics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Uses Software

• fda (R)

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