OPTIONS

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Price dynamics and volatility jumps in bitcoin options
《Financial Innovation》2024年第1期1299-1327,共29页Kuo Shing Chen J.Jimmy Yang 
In the FinTech era,we contribute to the literature by studying the pricing of Bitcoin options,which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivati...
关键词：ARJl-GARCH models Blockchain Bitcoin options FinTech 
Uncertainty about interest rates and crude oil prices
《Financial Innovation》2024年第1期3989-4002,共14页Mahmoud Qadan Gil Cohen 
The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style ...
关键词：Bond VIX Forecasting Treasury futures OPTIONS Implied volatility Oil price 
Pricing multi-asset options with tempered stable distributions
《Financial Innovation》2024年第1期551-574,共24页Yunfei Xia Michael Grabchak 
We derive methods for risk-neutral pricing of multi-asset options,when log-returns jointly follow a multivariate tempered stable distribution.These lead to processes that are more realistic than the better known Brown...
关键词：Multi-asset option pricing Tempered stable distributions Diagonal model Lévy processes 
Valuing options to renew at future market value:the case of commercial property leases
《Financial Innovation》2023年第1期1932-1966,共35页Jenny Jing Wang Jianfu Shen Frederik Pretorius 
research grants(P0030199 and P0038209)from the Hong Kong Polytechnic University。
In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the ma...
关键词：Fair market value renewal Commercial property leases Real option VALUATION Integrated method 
Complex derivatives valuation: applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis
《Financial Innovation》2016年第1期1-14,共14页Ursula Silveira Monteiro de Lima Carlos Patricio Samanez 
Background:This article investigates the Least-Squares Monte Carlo Method by using different polynomial basis in American Asian Options pricing.The standard approach in the option pricing literature is to choose the b...
关键词：Complex derivatives valuation Least-Squares Monte Carlo Method Amerasian options Polynomial basis 
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