Information and option pricings

By Xin Guo. 2001

203 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d0b6707cef2162ba6f5cd4aa3d8a09eaaaed9bc2

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Citations in the corpus

Option pricing and Esscher transform under regime switching (2005, methodology): “with the result in Guo [ 25 ] and Buffington and Elliott [4, 5].”
Asset allocation for a DC pension fund under regime switching environment (2011, background): “Note that the volatility σI can be completely identified with the (local)quadratic variation of the logarithmic of the price index level if the latter can be monitored continuously over time, (see, for example, Guo (2001) for discussion).”
Financial volatility trading using a self-organising neural-fuzzy semantic network and option straddle-based approach (2010, methodology): “…trader to maximize the possibility of proﬁtable trades by using and analyzing market information to determine a trading position in anticipation of the price/trend changes (Cheng, Quek, & Mah, 2007; Guo, 2001), the delayed trading signals from the MACD trading rule are not very useful in this case.”
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (2011, background): “…a considerable progress in the pricing exercise for plain vanilla European or American style options: see e.g. Di Masi et al. (1994), Bollen (1998), Guo (2001), Hardy (2001), Duan et al. (2002), Buffington and Elliott (2002), Konikov and Madan (2002), Guo and Zhang (2004), Chourdakis (2004,2007),…”
An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, background): “Note that the hedging instru900 ments can include Ŝ as well as any nonlinear securities such as traded option contracts on Ŝ, not 901 necessarily the change of state contracts suggested in Guo (2001). For example, Fn could be short 902 term puts or calls with different strikes which are rolled over ”