Matches in SemOpenAlex for { <https://semopenalex.org/work/W2733366871> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W2733366871 abstract "Author(s): Ichiba, Tomoyuki; Mousavi, Seyyed Mostafa | Abstract: We propose a model to study the effects of delayed information on option pricing. We first talk about the absence of arbitrage in our model, and then discuss super replication with delayed information in a binomial model, notably, we present a closed form formula for the price of convex contingent claims. Also, we address the convergence problem as the time-step and delay length tend to zero and introduce analogous results in the continuous time framework. Finally, we explore how delayed information exaggerates the volatility smile." @default.
- W2733366871 created "2017-07-14" @default.
- W2733366871 creator A5029271948 @default.
- W2733366871 creator A5067908889 @default.
- W2733366871 date "2017-07-05" @default.
- W2733366871 modified "2023-09-27" @default.
- W2733366871 title "Option Pricing with Delayed Information" @default.
- W2733366871 cites W142538132 @default.
- W2733366871 cites W1513971097 @default.
- W2733366871 cites W1984328418 @default.
- W2733366871 cites W2012165913 @default.
- W2733366871 cites W2029759782 @default.
- W2733366871 cites W2093222610 @default.
- W2733366871 cites W2102657492 @default.
- W2733366871 cites W2105617807 @default.
- W2733366871 cites W2118599684 @default.
- W2733366871 cites W2136364195 @default.
- W2733366871 cites W2161836471 @default.
- W2733366871 cites W2266883433 @default.
- W2733366871 cites W2562134586 @default.
- W2733366871 cites W2952708489 @default.
- W2733366871 cites W3106215755 @default.
- W2733366871 cites W970388078 @default.
- W2733366871 hasPublicationYear "2017" @default.
- W2733366871 type Work @default.
- W2733366871 sameAs 2733366871 @default.
- W2733366871 citedByCount "0" @default.
- W2733366871 crossrefType "posted-content" @default.
- W2733366871 hasAuthorship W2733366871A5029271948 @default.
- W2733366871 hasAuthorship W2733366871A5067908889 @default.
- W2733366871 hasConcept C106159729 @default.
- W2733366871 hasConcept C112680207 @default.
- W2733366871 hasConcept C138885662 @default.
- W2733366871 hasConcept C144237770 @default.
- W2733366871 hasConcept C149782125 @default.
- W2733366871 hasConcept C160623529 @default.
- W2733366871 hasConcept C162324750 @default.
- W2733366871 hasConcept C2524010 @default.
- W2733366871 hasConcept C2777303404 @default.
- W2733366871 hasConcept C2780813799 @default.
- W2733366871 hasConcept C33923547 @default.
- W2733366871 hasConcept C41008148 @default.
- W2733366871 hasConcept C41895202 @default.
- W2733366871 hasConcept C50522688 @default.
- W2733366871 hasConcept C91602232 @default.
- W2733366871 hasConceptScore W2733366871C106159729 @default.
- W2733366871 hasConceptScore W2733366871C112680207 @default.
- W2733366871 hasConceptScore W2733366871C138885662 @default.
- W2733366871 hasConceptScore W2733366871C144237770 @default.
- W2733366871 hasConceptScore W2733366871C149782125 @default.
- W2733366871 hasConceptScore W2733366871C160623529 @default.
- W2733366871 hasConceptScore W2733366871C162324750 @default.
- W2733366871 hasConceptScore W2733366871C2524010 @default.
- W2733366871 hasConceptScore W2733366871C2777303404 @default.
- W2733366871 hasConceptScore W2733366871C2780813799 @default.
- W2733366871 hasConceptScore W2733366871C33923547 @default.
- W2733366871 hasConceptScore W2733366871C41008148 @default.
- W2733366871 hasConceptScore W2733366871C41895202 @default.
- W2733366871 hasConceptScore W2733366871C50522688 @default.
- W2733366871 hasConceptScore W2733366871C91602232 @default.
- W2733366871 hasLocation W27333668711 @default.
- W2733366871 hasOpenAccess W2733366871 @default.
- W2733366871 hasPrimaryLocation W27333668711 @default.
- W2733366871 hasRelatedWork W136071984 @default.
- W2733366871 hasRelatedWork W1649128996 @default.
- W2733366871 hasRelatedWork W1740478010 @default.
- W2733366871 hasRelatedWork W1774440954 @default.
- W2733366871 hasRelatedWork W1791302762 @default.
- W2733366871 hasRelatedWork W1974384946 @default.
- W2733366871 hasRelatedWork W1996267146 @default.
- W2733366871 hasRelatedWork W2032422763 @default.
- W2733366871 hasRelatedWork W2106198462 @default.
- W2733366871 hasRelatedWork W2144494443 @default.
- W2733366871 hasRelatedWork W2211484512 @default.
- W2733366871 hasRelatedWork W2317563007 @default.
- W2733366871 hasRelatedWork W2375745465 @default.
- W2733366871 hasRelatedWork W2735867562 @default.
- W2733366871 hasRelatedWork W2758134009 @default.
- W2733366871 hasRelatedWork W2941363628 @default.
- W2733366871 hasRelatedWork W3121890279 @default.
- W2733366871 hasRelatedWork W3123505768 @default.
- W2733366871 hasRelatedWork W3125315208 @default.
- W2733366871 hasRelatedWork W2105002623 @default.
- W2733366871 isParatext "false" @default.
- W2733366871 isRetracted "false" @default.
- W2733366871 magId "2733366871" @default.
- W2733366871 workType "article" @default.