Browsing NHH Brage by Subject "option pricing"

Now showing items 1-2 of 2

    • American option pricing with transaction costs 

      Zakamouline, Valeri I. (Discussion paper, Working paper, 2003-10)
      In this paper we examine the problem of finding investors’ reservation option prices and corresponding early exercise policies of American-style options in the market with proportional transaction costs using the utility ...

    • Volatility and price jumps in agricultural futures prices : evidence from wheat options 

      Koekebakker, Steen; Lien, Gudbrand (Discussion paper, Working paper, 2003-01)
      Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices contains a ...