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@phdthesis{DBLP:phd/dnb/Ratku24,
author = {Antal Ratku},
title = {Pricing and market modeling with artificial intelligence: applications
to options markets},
school = {University of Freiburg, Freiburg im Breisgau, Germany},
year = {2024},
url = {https://d-nb.info/1336586435},
timestamp = {Sat, 31 Aug 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/phd/dnb/Ratku24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/access/JogunolaATOYMAS24,
author = {Olamide Jogunola and
Abimbola Susan Ajagun and
Wayes Tushar and
Femi O. Olatunji and
Chau Yuen and
Craig Morley and
Bamidele Adebisi and
Thokozani Shongwe},
title = {Peer-to-Peer Local Energy Market: Opportunities, Barriers, Security,
and Implementation Options},
journal = {{IEEE} Access},
volume = {12},
pages = {37873--37890},
year = {2024},
url = {https://doi.org/10.1109/ACCESS.2024.3375525},
doi = {10.1109/ACCESS.2024.3375525},
timestamp = {Mon, 01 Apr 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/access/JogunolaATOYMAS24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/BertonM24,
author = {Edoardo Berton and
Lorenzo Mercuri},
title = {An efficient unified approach for spread option pricing in a copula
market model},
journal = {Ann. Oper. Res.},
volume = {336},
number = {1-2},
pages = {307--329},
year = {2024},
url = {https://doi.org/10.1007/s10479-023-05549-2},
doi = {10.1007/S10479-023-05549-2},
timestamp = {Fri, 31 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/BertonM24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/candie/XuLCZ24,
author = {Lang Xu and
Yuqi Luo and
Jihong Chen and
Shaorui Zhou},
title = {Capacity prioritization allocation and credit financing option in
shipping freight forwarding market},
journal = {Comput. Ind. Eng.},
volume = {189},
pages = {109987},
year = {2024},
url = {https://doi.org/10.1016/j.cie.2024.109987},
doi = {10.1016/J.CIE.2024.109987},
timestamp = {Fri, 24 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/candie/XuLCZ24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fodm/LiYN24,
author = {Haoxuan Li and
Xiangfeng Yang and
Yaodong Ni},
title = {Pricing of shout option in uncertain financial market},
journal = {Fuzzy Optim. Decis. Mak.},
volume = {23},
number = {3},
pages = {449--467},
year = {2024},
url = {https://doi.org/10.1007/s10700-024-09428-8},
doi = {10.1007/S10700-024-09428-8},
timestamp = {Thu, 08 Aug 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fodm/LiYN24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ijitm/ShiLY24,
author = {Dongwei Shi and
Yanyin Li and
Xing Yu},
title = {Dynamic options hedging model under mark-to-market risk},
journal = {Int. J. Inf. Technol. Manag.},
volume = {23},
number = {2},
pages = {137--155},
year = {2024},
url = {https://doi.org/10.1504/IJITM.2024.137769},
doi = {10.1504/IJITM.2024.137769},
timestamp = {Sun, 28 Apr 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/ijitm/ShiLY24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/itm/ZhangLN24,
author = {Dawei Zhang and
Matthew Lyle and
Barrie R. Nault},
title = {Trading volume and open interest from options markets as measures
of the effect of {IT} announcements},
journal = {Inf. Technol. Manag.},
volume = {25},
number = {2},
pages = {113--123},
year = {2024},
url = {https://doi.org/10.1007/s10799-023-00413-y},
doi = {10.1007/S10799-023-00413-Y},
timestamp = {Sat, 04 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/itm/ZhangLN24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mcs/MehrdoustNK24,
author = {Farshid Mehrdoust and
Idin Noorani and
Juho Kanniainen},
title = {Valuation of option price in commodity markets described by a Markov-switching
model: {A} case study of {WTI} crude oil market},
journal = {Math. Comput. Simul.},
volume = {215},
pages = {228--269},
year = {2024},
url = {https://doi.org/10.1016/j.matcom.2023.08.009},
doi = {10.1016/J.MATCOM.2023.08.009},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/mcs/MehrdoustNK24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/orl/ChenDN24,
author = {Tian Chen and
Jun Deng and
Jing Nie},
title = {Implied volatility slopes and jumps in bitcoin options market},
journal = {Oper. Res. Lett.},
volume = {55},
pages = {107135},
year = {2024},
url = {https://doi.org/10.1016/j.orl.2024.107135},
doi = {10.1016/J.ORL.2024.107135},
timestamp = {Fri, 19 Jul 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/orl/ChenDN24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/systems/JiaCW24,
author = {Deng Jia and
Xingyu Chen and
Chong Wang},
title = {Fresh Produce Ordering, Pricing and Freshness-Keeping Decisions with
Call Option Contracts and Spot Markets},
journal = {Syst.},
volume = {12},
number = {5},
pages = {150},
year = {2024},
url = {https://doi.org/10.3390/systems12050150},
doi = {10.3390/SYSTEMS12050150},
timestamp = {Fri, 19 Jul 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/systems/JiaCW24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/complexis/SapnaM24,
author = {S. Sapna and
Biju R. Mohan},
editor = {Ali Emrouznejad and
Luigi Fortuna and
Victor Chang},
title = {Univariate {GARCH} Model for Futures Option Pricing: Application to
Silver Mini Futures in Indian Commodity Market},
booktitle = {Proceedings of the 9th International Conference on Complexity, Future
Information Systems and Risk, {COMPLEXIS} 2024, Angers, France, April
28-29, 2024},
pages = {43--53},
publisher = {{SCITEPRESS}},
year = {2024},
url = {https://doi.org/10.5220/0012587900003708},
doi = {10.5220/0012587900003708},
timestamp = {Sun, 04 Aug 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/complexis/SapnaM24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/femib/BlancFNT24,
author = {Sylvestre Blanc and
Emmanuel Fragni{\`{e}}re and
Francesc Naya and
Nils Tuchschmid},
editor = {Mitra Arami and
Patricia Baudier and
Victor Chang},
title = {Safeguarding Downside Risk in Portfolio Insurance: Navigating Swiss
Stock Market Regimes with Options, Trading Signals, and Financial
Products},
booktitle = {Proceedings of the 6th International Conference on Finance, Economics,
Management and {IT} Business, {FEMIB} 2024, Angers, France, April
28-29, 2024},
pages = {33--41},
publisher = {{SCITEPRESS}},
year = {2024},
url = {https://doi.org/10.5220/0012524200003717},
doi = {10.5220/0012524200003717},
timestamp = {Tue, 28 May 2024 16:32:27 +0200},
biburl = {https://dblp.org/rec/conf/femib/BlancFNT24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/fpga/Klaisoongnoen0D24,
author = {Mark Klaisoongnoen and
Nick Brown and
Tim Dykes and
Jessica R. Jones and
Utz{-}Uwe Haus},
editor = {Zhiru Zhang and
Andrew Putnam},
title = {Evaluating Versal {AI} Engines for Option Price Discovery in Market
Risk Analysis},
booktitle = {Proceedings of the 2024 {ACM/SIGDA} International Symposium on Field
Programmable Gate Arrays, {FPGA} 2024, Monterey, CA, USA, March 3-5,
2024},
pages = {176--182},
publisher = {{ACM}},
year = {2024},
url = {https://doi.org/10.1145/3626202.3637578},
doi = {10.1145/3626202.3637578},
timestamp = {Mon, 15 Apr 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/fpga/Klaisoongnoen0D24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/corr/abs-2402-12111,
author = {Mark Klaisoongnoen and
Nick Brown and
Tim Dykes and
Jessica R. Jones and
Utz{-}Uwe Haus},
title = {Evaluating Versal {AI} Engines for option price discovery in market
risk analysis},
journal = {CoRR},
volume = {abs/2402.12111},
year = {2024},
url = {https://doi.org/10.48550/arXiv.2402.12111},
doi = {10.48550/ARXIV.2402.12111},
eprinttype = {arXiv},
eprint = {2402.12111},
timestamp = {Thu, 21 Mar 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/corr/abs-2402-12111.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cms/DrabekKMPV23,
author = {Zdenek Dr{\'{a}}bek and
Milos Kopa and
Mat{\'{u}}s Maciak and
Michal Pesta and
Sebastiano Vitali},
title = {Investment disputes and their explicit role in option market uncertainty
and overall risk instability},
journal = {Comput. Manag. Sci.},
volume = {20},
number = {1},
pages = {15},
year = {2023},
url = {https://doi.org/10.1007/s10287-023-00447-1},
doi = {10.1007/S10287-023-00447-1},
timestamp = {Sun, 04 Aug 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cms/DrabekKMPV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cnsns/GampeG23,
author = {Hannah Gampe and
Christopher Griffin},
title = {Dynamics of a binary option market with exogenous information and
price sensitivity},
journal = {Commun. Nonlinear Sci. Numer. Simul.},
volume = {118},
pages = {106994},
year = {2023},
url = {https://doi.org/10.1016/j.cnsns.2022.106994},
doi = {10.1016/J.CNSNS.2022.106994},
timestamp = {Sat, 29 Apr 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cnsns/GampeG23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/computation/YamphramSR23,
author = {Pornnapat Yamphram and
Phiraphat Sutthimat and
Udomsak Rakwongwan},
title = {Pricing and Hedging Index Options under Mean-Variance Criteria in
Incomplete Markets},
journal = {Comput.},
volume = {11},
number = {2},
pages = {30},
year = {2023},
url = {https://doi.org/10.3390/computation11020030},
doi = {10.3390/COMPUTATION11020030},
timestamp = {Sun, 16 Apr 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/computation/YamphramSR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/isr/ShiV23,
author = {Lanfei Shi and
Siva Viswanathan},
title = {Optional Verification and Signaling in Online Matching Markets: Evidence
from a Randomized Field Experiment},
journal = {Inf. Syst. Res.},
volume = {34},
number = {4},
pages = {1603--1621},
year = {2023},
url = {https://doi.org/10.1287/isre.2022.1194},
doi = {10.1287/ISRE.2022.1194},
timestamp = {Sat, 06 Jul 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/isr/ShiV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/isr/ZhengWT23,
author = {Jinyang Zheng and
Youwei Wang and
Yong Tan},
title = {Platform Refund Insurance or Being Cast Out: Quantifying the Signaling
Effect of Refund Options in the Online Service Marketplace},
journal = {Inf. Syst. Res.},
volume = {34},
number = {3},
pages = {910--934},
year = {2023},
url = {https://doi.org/10.1287/isre.2022.1162},
doi = {10.1287/ISRE.2022.1162},
timestamp = {Sat, 06 Jul 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/isr/ZhengWT23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jcam/Hainaut23,
author = {Donatien Hainaut},
title = {Pricing of spread and exchange options in a rough jump-diffusion market},
journal = {J. Comput. Appl. Math.},
volume = {419},
pages = {114752},
year = {2023},
url = {https://doi.org/10.1016/j.cam.2022.114752},
doi = {10.1016/J.CAM.2022.114752},
timestamp = {Tue, 11 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jcam/Hainaut23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jifs/JiaJLG23,
author = {Lifen Jia and
Jiarui Jiang and
Dongao Li and
Fengjia Guo},
title = {American knock-out options based on floating interest rate in uncertain
financial market},
journal = {J. Intell. Fuzzy Syst.},
volume = {45},
number = {5},
pages = {7259--7270},
year = {2023},
url = {https://doi.org/10.3233/jifs-233634},
doi = {10.3233/JIFS-233634},
timestamp = {Mon, 18 Mar 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/jifs/JiaJLG23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/scw/MoralesR23,
author = {Antonio J. Morales and
Javier Rodero{-}Cosano},
title = {Forward induction and market entry with an endogenous outside option},
journal = {Soc. Choice Welf.},
volume = {61},
number = {2},
pages = {365--383},
year = {2023},
url = {https://doi.org/10.1007/s00355-023-01455-5},
doi = {10.1007/S00355-023-01455-5},
timestamp = {Thu, 31 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/scw/MoralesR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cms/ShvimerH22,
author = {Yossi Shvimer and
Avi Herbon},
title = {Non-tradability interval for heterogeneous rational players in the
option markets},
journal = {Comput. Manag. Sci.},
volume = {19},
number = {1},
pages = {133--157},
year = {2022},
url = {https://doi.org/10.1007/s10287-021-00413-9},
doi = {10.1007/S10287-021-00413-9},
timestamp = {Tue, 08 Feb 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/cms/ShvimerH22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/complexity/LiuWLYW22,
author = {Zhaohua Liu and
Susheng Wang and
Siyi Liu and
Haixu Yu and
He Wang},
title = {Volatility Risk Premium, Return Predictability, and {ESG} Sentiment:
Evidence from China's Spots and Options' Markets},
journal = {Complex.},
volume = {2022},
pages = {6813797:1--6813797:14},
year = {2022},
url = {https://doi.org/10.1155/2022/6813797},
doi = {10.1155/2022/6813797},
timestamp = {Mon, 05 Dec 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/complexity/LiuWLYW22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/computation/Ratanov22,
author = {Nikita Ratanov},
title = {On Barrier Binary Options in the Telegraph-like Financial Market Model},
journal = {Comput.},
volume = {10},
number = {9},
pages = {163},
year = {2022},
url = {https://doi.org/10.3390/computation10090163},
doi = {10.3390/COMPUTATION10090163},
timestamp = {Mon, 05 Dec 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/computation/Ratanov22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/eswa/PasrichaZH22,
author = {Puneet Pasricha and
Song{-}Ping Zhu and
Xin{-}Jiang He},
title = {A closed-form pricing formula for European options with market liquidity
risk},
journal = {Expert Syst. Appl.},
volume = {189},
pages = {116128},
year = {2022},
url = {https://doi.org/10.1016/j.eswa.2021.116128},
doi = {10.1016/J.ESWA.2021.116128},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/eswa/PasrichaZH22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fss/AnzilliV22,
author = {Luca Anzilli and
Giovanni Villani},
title = {Real R{\&}D options under fuzzy uncertainty in market share and
revealed information},
journal = {Fuzzy Sets Syst.},
volume = {434},
pages = {117--134},
year = {2022},
url = {https://doi.org/10.1016/j.fss.2021.07.011},
doi = {10.1016/J.FSS.2021.07.011},
timestamp = {Fri, 01 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fss/AnzilliV22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mansci/RemeRS22,
author = {Bj{\o}rn{-}Atle Reme and
Helene Lie R{\o}hr and
Morten S{\ae}thre},
title = {Inattention in Contract Markets: Evidence from a Consolidation of
Options in Telecom},
journal = {Manag. Sci.},
volume = {68},
number = {2},
pages = {1019--1038},
year = {2022},
url = {https://doi.org/10.1287/mnsc.2021.3975},
doi = {10.1287/MNSC.2021.3975},
timestamp = {Fri, 01 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mansci/RemeRS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/orl/Lai22,
author = {Wan{-}Ni Lai},
title = {Detecting stock market regimes from option prices},
journal = {Oper. Res. Lett.},
volume = {50},
number = {3},
pages = {260--267},
year = {2022},
url = {https://doi.org/10.1016/j.orl.2022.02.006},
doi = {10.1016/J.ORL.2022.02.006},
timestamp = {Wed, 29 Jun 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/orl/Lai22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/rairo/GaoW22,
author = {Rong Gao and
Xiaoli Wu},
title = {Pricing rainbow option for uncertain financial market},
journal = {{RAIRO} Oper. Res.},
volume = {56},
number = {6},
pages = {3973--3989},
year = {2022},
url = {https://doi.org/10.1051/ro/2022195},
doi = {10.1051/RO/2022195},
timestamp = {Thu, 14 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/rairo/GaoW22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/sj/SheybaniB22,
author = {Hani Raouf Sheybani and
Majid Oloomi Buygi},
title = {Equilibrium-Based Black-Scholes Option Pricing in Electricity Markets},
journal = {{IEEE} Syst. J.},
volume = {16},
number = {4},
pages = {5413--5423},
year = {2022},
url = {https://doi.org/10.1109/JSYST.2021.3131938},
doi = {10.1109/JSYST.2021.3131938},
timestamp = {Sun, 25 Dec 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/sj/SheybaniB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/heart/Klaisoongnoen0B22,
author = {Mark Klaisoongnoen and
Nick Brown and
Oliver Thomson Brown},
title = {Low-power option Greeks: Efficiency-driven market risk analysis using
FPGAs},
booktitle = {{HEART} 2022: International Symposium on Highly-Efficient Accelerators
and Reconfigurable Technologies, Tsukuba, Japan, June 9 - 10, 2022},
pages = {95--101},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3535044.3535059},
doi = {10.1145/3535044.3535059},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/heart/Klaisoongnoen0B22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icite/ZhangZJ22,
author = {Xiaoming Zhang and
Peng Zhang and
Chaozhe Jiang},
title = {Option Pricing and Capacity Allocation of China Railway Express Considering
Capital Constraint and Spot Market},
booktitle = {7th {IEEE} International Conference on Intelligent Transportation
Engineering, {ICITE} 2022, Beijing, China, November 11-13, 2022},
pages = {117--121},
publisher = {{IEEE}},
year = {2022},
url = {https://doi.org/10.1109/ICITE56321.2022.10101444},
doi = {10.1109/ICITE56321.2022.10101444},
timestamp = {Tue, 25 Apr 2023 16:50:59 +0200},
biburl = {https://dblp.org/rec/conf/icite/ZhangZJ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/corr/abs-2206-03719,
author = {Mark Klaisoongnoen and
Nick Brown and
Oliver Thomson Brown},
title = {Low-power option Greeks: Efficiency-driven market risk analysis using
FPGAs},
journal = {CoRR},
volume = {abs/2206.03719},
year = {2022},
url = {https://doi.org/10.48550/arXiv.2206.03719},
doi = {10.48550/ARXIV.2206.03719},
eprinttype = {arXiv},
eprint = {2206.03719},
timestamp = {Tue, 14 Jun 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/corr/abs-2206-03719.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cam/GeorgievV21,
author = {Slavi G. Georgiev and
Lubin G. Vulkov},
title = {Fast reconstruction of time-dependent market volatility for European
options},
journal = {Comput. Appl. Math.},
volume = {40},
number = {1},
year = {2021},
url = {https://doi.org/10.1007/s40314-021-01422-9},
doi = {10.1007/S40314-021-01422-9},
timestamp = {Tue, 08 Feb 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/cam/GeorgievV21.bib},
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@article{DBLP:journals/candie/OhH21,
author = {Gyesik Oh and
Yoo Suk Hong},
title = {Managing market risk caused by customer preference uncertainty in
product family design with launch flexibility: Product option strategy},
journal = {Comput. Ind. Eng.},
volume = {151},
pages = {106975},
year = {2021},
url = {https://doi.org/10.1016/j.cie.2020.106975},
doi = {10.1016/J.CIE.2020.106975},
timestamp = {Thu, 18 Feb 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/candie/OhH21.bib},
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@article{DBLP:journals/clsr/Markopoulou21,
author = {Dimitra Markopoulou},
title = {Cyber-insurance in {EU} policy-making: Regulatory options, the market's
challenges and the {US} example},
journal = {Comput. Law Secur. Rev.},
volume = {43},
pages = {105627},
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url = {https://doi.org/10.1016/j.clsr.2021.105627},
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timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/clsr/Markopoulou21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/eninf/FatrasMJ21,
author = {Nicolas Fatras and
Zheng Ma and
Bo N{\o}rregaard J{\o}rgensen},
title = {Industrial consumers' electricity market participation options: a
case study of an industrial cooling process in Denmark},
journal = {Energy Inform.},
volume = {4},
number = {{S2}},
year = {2021},
url = {https://doi.org/10.1186/s42162-021-00165-5},
doi = {10.1186/S42162-021-00165-5},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
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author = {Donatien Hainaut and
Nikolai Leonenko},
title = {Option pricing in illiquid markets: {A} fractional jump-diffusion
approach},
journal = {J. Comput. Appl. Math.},
volume = {381},
pages = {112995},
year = {2021},
url = {https://doi.org/10.1016/j.cam.2020.112995},
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@article{DBLP:journals/jus/YangZ21,
author = {Guimin Yang and
Yuanguo Zhu},
title = {Critical Value-Based Power Options Pricing Problems in Uncertain Financial
Markets},
journal = {J. Uncertain Syst.},
volume = {14},
number = {1},
pages = {2150002},
year = {2021},
url = {https://doi.org/10.1142/s1752890921500021},
doi = {10.1142/S1752890921500021},
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@article{DBLP:journals/mansci/ChordiaKMS21,
author = {Tarun Chordia and
Alexander Kurov and
Dmitriy Muravyev and
Avanidhar Subrahmanyam},
title = {Index Option Trading Activity and Market Returns},
journal = {Manag. Sci.},
volume = {67},
number = {3},
pages = {1758--1778},
year = {2021},
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@inproceedings{DBLP:conf/iceme/Tan21,
author = {Joanna Yingxin Tan},
title = {Fertility Options and Female Labor Market Outcomes: Evidence from
Universal Two-Child Policy in China},
booktitle = {{ICEME} 2021: The 12th International Conference on E-business, Management
and Economics, Beijing, China, July 17 - 19, 2021},
pages = {388--401},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3481127.3481263},
doi = {10.1145/3481127.3481263},
timestamp = {Mon, 06 Mar 2023 10:25:38 +0100},
biburl = {https://dblp.org/rec/conf/iceme/Tan21.bib},
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@inproceedings{DBLP:conf/isgta/GeorgeWCML21,
author = {Tim George and
Stephen Wallace and
Jennifer Crisp and
Levin Mardira and
Joseph Leung},
title = {Exploring options for new frequency control ancillary service markets
in the Australian National Electricity Market},
booktitle = {2021 {IEEE} {PES} Innovative Smart Grid Technologies - Asia {(ISGT}
Asia), Brisbane, Australia, December 5-8, 2021},
pages = {1--5},
publisher = {{IEEE}},
year = {2021},
url = {https://doi.org/10.1109/ISGTAsia49270.2021.9715660},
doi = {10.1109/ISGTASIA49270.2021.9715660},
timestamp = {Thu, 31 Mar 2022 11:18:29 +0200},
biburl = {https://dblp.org/rec/conf/isgta/GeorgeWCML21.bib},
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@inproceedings{DBLP:conf/isgta/GuerreroM21,
author = {Jaysson Guerrero and
Thomas Morstyn},
title = {Call-options in Peer-to-Peer Energy Markets},
booktitle = {2021 {IEEE} {PES} Innovative Smart Grid Technologies - Asia {(ISGT}
Asia), Brisbane, Australia, December 5-8, 2021},
pages = {1--5},
publisher = {{IEEE}},
year = {2021},
url = {https://doi.org/10.1109/ISGTAsia49270.2021.9715613},
doi = {10.1109/ISGTASIA49270.2021.9715613},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/isgta/GuerreroM21.bib},
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@inproceedings{DBLP:conf/sigecom/WangPDRTW21,
author = {Xintong Wang and
David M. Pennock and
Nikhil R. Devanur and
David M. Rothschild and
Biaoshuai Tao and
Michael P. Wellman},
editor = {P{\'{e}}ter Bir{\'{o}} and
Shuchi Chawla and
Federico Echenique},
title = {Designing a Combinatorial Financial Options Market},
booktitle = {{EC} '21: The 22nd {ACM} Conference on Economics and Computation,
Budapest, Hungary, July 18-23, 2021},
pages = {864--883},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3465456.3467634},
doi = {10.1145/3465456.3467634},
timestamp = {Fri, 09 Feb 2024 20:36:00 +0100},
biburl = {https://dblp.org/rec/conf/sigecom/WangPDRTW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {Xintong Wang and
David M. Pennock and
Nikhil R. Devanur and
David M. Rothschild and
Biaoshuai Tao and
Michael P. Wellman},
title = {Designing a Combinatorial Financial Options Market},
journal = {CoRR},
volume = {abs/2109.06443},
year = {2021},
url = {https://arxiv.org/abs/2109.06443},
eprinttype = {arXiv},
eprint = {2109.06443},
timestamp = {Tue, 21 Sep 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/corr/abs-2109-06443.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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author = {Magnus Wiese and
Ben Wood and
Alexandre Pachoud and
Ralf Korn and
Hans Buehler and
Phillip Murray and
Lianjun Bai},
title = {Multi-Asset Spot and Option Market Simulation},
journal = {CoRR},
volume = {abs/2112.06823},
year = {2021},
url = {https://arxiv.org/abs/2112.06823},
eprinttype = {arXiv},
eprint = {2112.06823},
timestamp = {Wed, 05 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/corr/abs-2112-06823.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/wicomm/Zhang21,
title = {Dynamic Index Optimal Investment Strategy Based on Stochastic Differential
Equations in Financial Market Options},
journal = {Wirel. Commun. Mob. Comput.},
volume = {2021},
pages = {5545956:1--5545956:9},
year = {2021},
note = {Withdrawn.},
url = {https://doi.org/10.1155/2021/5545956},
doi = {10.1155/2021/5545956},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/wicomm/Zhang21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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author = {Davood Ahmadian and
O. Farkhondeh Rouz and
Karim Ivaz and
Ali Safdari{-}Vaighani},
title = {Robust numerical algorithm to the European option with illiquid markets},
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volume = {366},
year = {2020},
url = {https://doi.org/10.1016/j.amc.2019.124693},
doi = {10.1016/J.AMC.2019.124693},
timestamp = {Sat, 14 Oct 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/amc/AhmadianRIS20.bib},
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author = {Peter M. Kort and
Sihem Taboubi and
Georges Zaccour},
title = {Pricing decisions in marketing channels in the presence of optional
contingent products},
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volume = {28},
number = {1},
pages = {167--192},
year = {2020},
url = {https://doi.org/10.1007/s10100-018-0527-x},
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timestamp = {Mon, 15 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cejor/KortTZ20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cnsns/AliahmadiTK20,
author = {Hazhir Aliahmadi and
Mahsan Tavakoli{-}Kakhki and
Hamid Khaloozadeh},
title = {Option pricing under finite moment log stable process in a regulated
market: {A} generalized fractional path integral formulation and Monte
Carlo based simulation},
journal = {Commun. Nonlinear Sci. Numer. Simul.},
volume = {90},
pages = {105345},
year = {2020},
url = {https://doi.org/10.1016/j.cnsns.2020.105345},
doi = {10.1016/J.CNSNS.2020.105345},
timestamp = {Sat, 19 Sep 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cnsns/AliahmadiTK20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ijamc-igi/Abdollahi20,
author = {Hooman Abdollahi},
title = {An Adaptive Neuro-Based Fuzzy Inference System {(ANFIS)} for the Prediction
of Option Price: The Case of the Australian Option Market},
journal = {Int. J. Appl. Metaheuristic Comput.},
volume = {11},
number = {2},
pages = {99--117},
year = {2020},
url = {https://doi.org/10.4018/IJAMC.2020040105},
doi = {10.4018/IJAMC.2020040105},
timestamp = {Tue, 29 Sep 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/ijamc-igi/Abdollahi20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/itor/ShvimerH20,
author = {Yossi Shvimer and
Avi Herbon},
title = {Real-time waiting-price trading interval in a heterogeneous options
market: a Bernoulli distribution},
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volume = {27},
number = {6},
pages = {2817--2840},
year = {2020},
url = {https://doi.org/10.1111/itor.12778},
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timestamp = {Thu, 09 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/itor/ShvimerH20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jifs/QinLS20,
author = {Xuezhi Qin and
Xianwei Lin and
Qin Shang},
title = {Fuzzy pricing of binary option based on the long memory property of
financial markets},
journal = {J. Intell. Fuzzy Syst.},
volume = {38},
number = {4},
pages = {4889--4900},
year = {2020},
url = {https://doi.org/10.3233/JIFS-191551},
doi = {10.3233/JIFS-191551},
timestamp = {Mon, 11 May 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jifs/QinLS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/mansci/Goncalves-Pinto20,
author = {Luis Goncalves{-}Pinto and
Bruce D. Grundy and
Allaudeen Hameed and
Thijs van der Heijden and
Yichao Zhu},
title = {Why Do Option Prices Predict Stock Returns? The Role of Price Pressure
in the Stock Market},
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volume = {66},
number = {9},
pages = {3903--3926},
year = {2020},
url = {https://doi.org/10.1287/mnsc.2019.3398},
doi = {10.1287/MNSC.2019.3398},
timestamp = {Thu, 16 Sep 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mansci/Goncalves-Pinto20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GrigorovaQS20,
author = {Miryana Grigorova and
Marie Claire Quenez and
Agn{\`{e}}s Sulem},
title = {European Options in a Nonlinear Incomplete Market Model with Default},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {849--880},
year = {2020},
url = {https://doi.org/10.1137/20M1318018},
doi = {10.1137/20M1318018},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GrigorovaQS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/simpa/FabbianiMN20,
author = {Emanuele Fabbiani and
Andrea Marziali and
Giuseppe De Nicolao},
title = {\emph{vanilla-option-pricing}: Pricing and market calibration for
options on energy commodities},
journal = {Softw. Impacts},
volume = {6},
pages = {100043},
year = {2020},
url = {https://doi.org/10.1016/j.simpa.2020.100043},
doi = {10.1016/J.SIMPA.2020.100043},
timestamp = {Sat, 09 Jan 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/simpa/FabbianiMN20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/tsg/AguiarGK20,
author = {Nayara Aguiar and
Vijay Gupta and
Pramod P. Khargonekar},
title = {A Real Options Market-Based Approach to Increase Penetration of Renewables},
journal = {{IEEE} Trans. Smart Grid},
volume = {11},
number = {2},
pages = {1691--1701},
year = {2020},
url = {https://doi.org/10.1109/TSG.2019.2942258},
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timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/tsg/AguiarGK20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@inproceedings{DBLP:conf/ssci/Washimi20,
author = {Kazuaki Washimi},
title = {Revisiting Determinants of Investor Sentiment in the {FX} Option Market
by Machine Learning Approaches},
booktitle = {2020 {IEEE} Symposium Series on Computational Intelligence, {SSCI}
2020, Canberra, Australia, December 1-4, 2020},
pages = {22--27},
publisher = {{IEEE}},
year = {2020},
url = {https://doi.org/10.1109/SSCI47803.2020.9308341},
doi = {10.1109/SSCI47803.2020.9308341},
timestamp = {Thu, 14 Jan 2021 15:14:22 +0100},
biburl = {https://dblp.org/rec/conf/ssci/Washimi20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {Igor Halperin},
title = {Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear
Langevin Model of Markets with Supersymmetry},
journal = {CoRR},
volume = {abs/2011.01417},
year = {2020},
url = {https://arxiv.org/abs/2011.01417},
eprinttype = {arXiv},
eprint = {2011.01417},
timestamp = {Thu, 12 Nov 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/corr/abs-2011-01417.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/cam/GolbabaiNN19,
author = {Ahmad Golbabai and
Omid Nikan and
Touraj Nikazad},
title = {Numerical analysis of time fractional Black-Scholes European option
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volume = {38},
number = {4},
year = {2019},
url = {https://doi.org/10.1007/s40314-019-0957-7},
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timestamp = {Tue, 08 Feb 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/cam/GolbabaiNN19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {Du Du and
Dan Luo},
title = {The Pricing of Jump Propagation: Evidence from Spot and Options Markets},
journal = {Manag. Sci.},
volume = {65},
number = {5},
pages = {2360--2387},
year = {2019},
url = {https://doi.org/10.1287/mnsc.2017.2885},
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timestamp = {Tue, 30 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mansci/DuL19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {PeiLin Hsieh and
Robert Jarrow},
title = {Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in
an Incomplete Market},
journal = {Manag. Sci.},
volume = {65},
number = {4},
pages = {1833--1854},
year = {2019},
url = {https://doi.org/10.1287/mnsc.2017.2867},
doi = {10.1287/MNSC.2017.2867},
timestamp = {Tue, 30 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mansci/HsiehJ19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {Michael Lewis and
Yanwen Wang and
Chunhua Wu},
title = {Season Ticket Buyer Value and Secondary Market Options},
journal = {Mark. Sci.},
volume = {38},
number = {6},
pages = {973--993},
year = {2019},
url = {https://doi.org/10.1287/mksc.2019.1183},
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timestamp = {Thu, 14 May 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mktsci/LewisWW19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {{\'{A}}lvaro Cartea and
Luhui Gan and
Sebastian Jaimungal},
title = {Hedge and Speculate: Replicating Option Payoffs with Limit and Market
Orders},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {3},
pages = {790--814},
year = {2019},
url = {https://doi.org/10.1137/18M1192706},
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biburl = {https://dblp.org/rec/journals/siamfm/CarteaGJ19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {Zhiqiang Zhang and
Hua Ke and
Weiqi Liu},
title = {Lookback options pricing for uncertain financial market},
journal = {Soft Comput.},
volume = {23},
number = {14},
pages = {5537--5546},
year = {2019},
url = {https://doi.org/10.1007/s00500-018-3211-0},
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biburl = {https://dblp.org/rec/journals/soco/ZhangKL19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/tkde/ChenK19,
author = {Bowei Chen and
Mohan S. Kankanhalli},
title = {Pricing Average Price Advertising Options When Underlying Spot Market
Prices Are Discontinuous},
journal = {{IEEE} Trans. Knowl. Data Eng.},
volume = {31},
number = {9},
pages = {1765--1778},
year = {2019},
url = {https://doi.org/10.1109/TKDE.2018.2867027},
doi = {10.1109/TKDE.2018.2867027},
timestamp = {Mon, 31 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/tkde/ChenK19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {Magnus Wiese and
Lianjun Bai and
Ben Wood and
Hans Buehler},
title = {Deep Hedging: Learning to Simulate Equity Option Markets},
journal = {CoRR},
volume = {abs/1911.01700},
year = {2019},
url = {http://arxiv.org/abs/1911.01700},
eprinttype = {arXiv},
eprint = {1911.01700},
timestamp = {Mon, 11 Nov 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/corr/abs-1911-01700.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {Yingxue Zhao and
Tsan{-}Ming Choi and
T. C. E. Cheng and
Shouyang Wang},
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author = {Jorge de Andr{\'{e}}s{-}S{\'{a}}nchez},
title = {Pricing European Options with Triangular Fuzzy Parameters: Assessing
Alternative Triangular Approximations in the Spanish Stock Option
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journal = {Int. J. Fuzzy Syst.},
volume = {20},
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title = {Multi-period dual-sourcing replenishment problem with option contracts
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journal = {Ind. Manag. Data Syst.},
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author = {Gary E. Bolton and
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title = {Dispute Resolution or Escalation? The Strategic Gaming of Feedback
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author = {Hani Raouf Sheybani and
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@inproceedings{DBLP:conf/ica2/HsuCHC18,
author = {Pei{-}Ying Hsu and
Chin Chou and
Szu{-}Hao Huang and
An{-}Pin Chen},
title = {A Market Making Quotation Strategy Based on Dual Deep Learning Agents
for Option Pricing and Bid-Ask Spread Estimation},
booktitle = {{IEEE} International Conference on Agents, {ICA} 2018, Singapore,
July 28-31, 2018},
pages = {99--104},
publisher = {{IEEE}},
year = {2018},
url = {https://doi.ieeecomputersociety.org/10.1109/AGENTS.2018.8460084},
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author = {Yasemin Merzifonluoglu},
title = {Integrated demand and procurement portfolio management with spot market
volatility and option contracts},
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}
@article{DBLP:journals/ijcisys/MunozMS17,
author = {Manuel Mu{\~{n}}oz and
E. Miranda and
Pedro J. S{\'{a}}nchez},
title = {A Fuzzy System for Estimating Premium Cost of Option Exchange Using
Mamdani Inference: Derivatives Market of Mexico},
journal = {Int. J. Comput. Intell. Syst.},
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number = {1},
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url = {https://doi.org/10.2991/ijcis.2017.10.1.11},
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biburl = {https://dblp.org/rec/journals/ijcisys/MunozMS17.bib},
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@article{DBLP:journals/jifs/Sanchez17,
author = {Jorge de Andr{\'{e}}s{-}S{\'{a}}nchez},
title = {An empirical assestment of fuzzy Black and Scholes pricing option
model in Spanish stock option market},
journal = {J. Intell. Fuzzy Syst.},
volume = {33},
number = {4},
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@article{DBLP:journals/jim/DaiFH17,
author = {Lanruo Dai and
Zongfei Fu and
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title = {Option pricing formulas for uncertain financial market based on the
exponential Ornstein-Uhlenbeck model},
journal = {J. Intell. Manuf.},
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number = {3},
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@article{DBLP:journals/mansci/ChristoffersenD17,
author = {Peter Christoffersen and
Du Du and
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title = {Rare Disasters, Credit, and Option Market Puzzles},
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}
@article{DBLP:journals/siamco/BouchardLZ17,
author = {Bruno Bouchard and
Gr{\'{e}}goire Loeper and
Yiyi Zou},
title = {Hedging of Covered Options with Linear Market Impact and Gamma Constraint},
journal = {{SIAM} J. Control. Optim.},
volume = {55},
number = {5},
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url = {https://doi.org/10.1137/15M1054109},
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@article{DBLP:journals/siamfm/DumitrescuQS17,
author = {Roxana Dumitrescu and
Marie Claire Quenez and
Agn{\`{e}}s Sulem},
title = {Game Options in an Imperfect Market with Default},
journal = {{SIAM} J. Financial Math.},
volume = {8},
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year = {2017},
url = {https://doi.org/10.1137/16M1109102},
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@article{DBLP:journals/corr/AlshehriBB17,
author = {Khaled Alshehri and
Subhonmesh Bose and
Tamer Basar},
title = {Cash-settled options for wholesale electricity markets},
journal = {CoRR},
volume = {abs/1704.00369},
year = {2017},
url = {http://arxiv.org/abs/1704.00369},
eprinttype = {arXiv},
eprint = {1704.00369},
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author = {Bowei Chen and
Mohan S. Kankanhalli},
title = {Pricing average price advertisement options when underlying spot market
prices are discontinuous},
journal = {CoRR},
volume = {abs/1702.06810},
year = {2017},
url = {http://arxiv.org/abs/1702.06810},
eprinttype = {arXiv},
eprint = {1702.06810},
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@article{DBLP:journals/amc/ZhangLS16,
author = {Zhiqiang Zhang and
Weiqi Liu and
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title = {Valuation of power option for uncertain financial market},
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@article{DBLP:journals/eor/HachCS16,
author = {Daniel Hach and
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title = {Capacity market design options: {A} dynamic capacity investment model
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@article{DBLP:journals/jcam/ShirayaT16,
author = {Kenichiro Shiraya and
Akihiko Takahashi},
title = {An approximation formula for basket option prices under local stochastic
volatility with jumps: An application to commodity markets},
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pages = {230--256},
year = {2016},
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@article{DBLP:journals/mansci/AnandHM16,
author = {Amber Anand and
Jian Hua and
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title = {Make-Take Structure and Market Quality: Evidence from the {U.S.} Options
Markets},
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number = {11},
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}
@inproceedings{DBLP:conf/fuzzIEEE/MunozM16,
author = {Manuel Mu{\~{n}}oz and
E. Miranda},
title = {A fuzzy system for estimating Premium Cost of option exchange using
Mamdani Inference: Derivates Market of Mexico},
booktitle = {2016 {IEEE} International Conference on Fuzzy Systems, {FUZZ-IEEE}
2016, Vancouver, BC, Canada, July 24-29, 2016},
pages = {888--895},
publisher = {{IEEE}},
year = {2016},
url = {https://doi.org/10.1109/FUZZ-IEEE.2016.7737782},
doi = {10.1109/FUZZ-IEEE.2016.7737782},
timestamp = {Thu, 23 Sep 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/fuzzIEEE/MunozM16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@inproceedings{DBLP:conf/naa/MudzimbabweV16,
author = {Walter Mudzimbabwe and
Lubin G. Vulkov},
editor = {Ivan Dimov and
Istv{\'{a}}n Farag{\'{o}} and
Lubin G. Vulkov},
title = {American Options in an Illiquid Market: Nonlinear Complementary Method},
booktitle = {Numerical Analysis and Its Applications - 6th International Conference,
{NAA} 2016, Lozenetz, Bulgaria, June 15-22, 2016, Revised Selected
Papers},
series = {Lecture Notes in Computer Science},
volume = {10187},
pages = {500--507},
year = {2016},
url = {https://doi.org/10.1007/978-3-319-57099-0\_56},
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@article{DBLP:journals/aarc/KhametovS15,
author = {Vladimir M. Khametov and
Elena A. Shelemekh},
title = {Superhedging of American options on an incomplete market with discrete
time and finite horizon},
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number = {9},
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biburl = {https://dblp.org/rec/journals/aarc/KhametovS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/cma/GuoW15,
author = {Jianqiang Guo and
Wansheng Wang},
title = {On the numerical solution of nonlinear option pricing equation in
illiquid markets},
journal = {Comput. Math. Appl.},
volume = {69},
number = {2},
pages = {117--133},
year = {2015},
url = {https://doi.org/10.1016/j.camwa.2014.11.015},
doi = {10.1016/J.CAMWA.2014.11.015},
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biburl = {https://dblp.org/rec/journals/cma/GuoW15.bib},
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@article{DBLP:journals/ijitdm/ChengJL15,
author = {Johnson T.{-}S. Cheng and
I{-}Ming Jiang and
Yu{-}Hong Liu},
title = {Technological Innovation, Product Life Cycle and Market Power: {A}
Real Options Approach},
journal = {Int. J. Inf. Technol. Decis. Mak.},
volume = {14},
number = {1},
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year = {2015},
url = {https://doi.org/10.1142/S0219622014500874},
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bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/jossac/ZhouDYY15,
author = {Rong{-}Xi Zhou and
Sinan Du and
Mei Yu and
Fengmei Yang},
title = {Pricing credit spread option with Longstaff-Schwartz and {GARCH} models
in Chinese bond market},
journal = {J. Syst. Sci. Complex.},
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year = {2015},
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biburl = {https://dblp.org/rec/journals/jossac/ZhouDYY15.bib},
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@inproceedings{DBLP:conf/cns/NaldiD15,
author = {Maurizio Naldi and
Giuseppe D'Acquisto},
title = {Option pricing in a privacy-aware market},
booktitle = {2015 {IEEE} Conference on Communications and Network Security, {CNS}
2015, Florence, Italy, September 28-30, 2015},
pages = {759--760},
publisher = {{IEEE}},
year = {2015},
url = {https://doi.org/10.1109/CNS.2015.7346922},
doi = {10.1109/CNS.2015.7346922},
timestamp = {Wed, 16 Oct 2019 14:14:55 +0200},
biburl = {https://dblp.org/rec/conf/cns/NaldiD15.bib},
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@inproceedings{DBLP:conf/wincom/Khyati15,
author = {Hind Khyati},
title = {Wireless operator strategies in emerging markets: Strategic options
and directions},
booktitle = {International Conference on Wireless Networks and Mobile Communications,
{WINCOM} 2015, Marrakech, Morocco, October 20-23, 2015},
pages = {1--8},
publisher = {{IEEE}},
year = {2015},
url = {https://doi.org/10.1109/WINCOM.2015.7381340},
doi = {10.1109/WINCOM.2015.7381340},
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biburl = {https://dblp.org/rec/conf/wincom/Khyati15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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@article{DBLP:journals/corr/NaldiD15,
author = {Maurizio Naldi and
Giuseppe D'Acquisto},
title = {Option contracts for a privacy-aware market},
journal = {CoRR},
volume = {abs/1509.06524},
year = {2015},
url = {http://arxiv.org/abs/1509.06524},
eprinttype = {arXiv},
eprint = {1509.06524},
timestamp = {Mon, 13 Aug 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/corr/NaldiD15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
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author = {Junfeng Dong and
Ye Shi and
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number = {5},
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author = {Abdollah Shidfar and
Khalil Paryab and
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title = {Numerical analysis for Spread option pricing model of markets with
finite liquidity: first-order feedback model},
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number = {12},
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year = {2014},
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@article{DBLP:journals/ior/BarrieuF14,
author = {Pauline Barrieu and
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title = {Market-Consistent Modeling for Cap-and-Trade Schemes and Application
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@article{DBLP:journals/isafm/KawakuboIY14,
author = {Saki Kawakubo and
Kiyoshi Izumi and
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title = {Analysis of an Option Market Dynamics Based on a Heterogeneous Agent
Model},
journal = {Intell. Syst. Account. Finance Manag.},
volume = {21},
number = {2},
pages = {105--128},
year = {2014},
url = {https://doi.org/10.1002/isaf.1353},
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@article{DBLP:journals/jcsci/RachmawatiSB14,
author = {Ro'fah Nur Rachmawati and
Sufon and
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year = {2014},
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@article{DBLP:journals/jmis/ParkerW14,
author = {Christopher Parker and
Bruce W. Weber},
title = {Launching Successful {E} Markets: {A} Broker-Level Order-Routing Analysis
of Two Options Exchanges},
journal = {J. Manag. Inf. Syst.},
volume = {31},
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year = {2014},
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@article{DBLP:journals/mmor/ErikssonLN14,
author = {Marcus Eriksson and
Jukka Lempa and
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title = {Swing options in commodity markets: a multidimensional L{\'{e}}vy
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pages = {31--67},
year = {2014},
url = {https://doi.org/10.1007/s00186-013-0452-7},
doi = {10.1007/S00186-013-0452-7},
timestamp = {Tue, 03 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/mmor/ErikssonLN14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/ciasg/Rigatos14,
author = {Gerasimos G. Rigatos},
title = {A Kalman filtering approach to the detection of option mispricing
in electric power markets},
booktitle = {2014 {IEEE} Symposium on Computational Intelligence Applications in
Smart Grid, {CIASG} 2014, Orlando, FL, USA, December 9-12, 2014},
pages = {72--77},
publisher = {{IEEE}},
year = {2014},
url = {https://doi.org/10.1109/CIASG.2014.7011554},
doi = {10.1109/CIASG.2014.7011554},
timestamp = {Wed, 16 Oct 2019 14:14:49 +0200},
biburl = {https://dblp.org/rec/conf/ciasg/Rigatos14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/appml/ZhangH13,
author = {Qiang Zhang and
Jiguang Han},
title = {Option pricing in incomplete markets},
journal = {Appl. Math. Lett.},
volume = {26},
number = {10},
pages = {975--978},
year = {2013},
url = {https://doi.org/10.1016/j.aml.2013.05.002},
doi = {10.1016/J.AML.2013.05.002},
timestamp = {Mon, 28 Aug 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/appml/ZhangH13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/entropy/YangS13,
author = {Hai{-}Jun Yang and
Gui{-}Ping Sun},
title = {Study on the Stability of an Artificial Stock Option Market Based
on Bidirectional Conduction},
journal = {Entropy},
volume = {15},
number = {2},
pages = {700--720},
year = {2013},
url = {https://doi.org/10.3390/e15020700},
doi = {10.3390/E15020700},
timestamp = {Tue, 14 Aug 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/entropy/YangS13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/geb/BeckKQS13,
author = {Adrian Beck and
Rudolf Kerschbamer and
Jianying Qiu and
Matthias Sutter},
title = {Shaping beliefs in experimental markets for expert services: Guilt
aversion and the impact of promises and money-burning options},
journal = {Games Econ. Behav.},
volume = {81},
pages = {145--164},
year = {2013},
url = {https://doi.org/10.1016/j.geb.2013.05.002},
doi = {10.1016/J.GEB.2013.05.002},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/geb/BeckKQS13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jam/LiM13,
author = {Jinzhi Li and
Shixia Ma},
title = {Pricing Options with Credit Risk in Markovian Regime-Switching Markets},
journal = {J. Appl. Math.},
volume = {2013},
pages = {621371:1--621371:9},
year = {2013},
url = {https://doi.org/10.1155/2013/621371},
doi = {10.1155/2013/621371},
timestamp = {Thu, 16 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jam/LiM13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jam/RuanZHL13,
author = {Xinfeng Ruan and
Wenli Zhu and
Jiexiang Huang and
Shuang Li},
title = {Continuous-Time Portfolio Selection and Option Pricing under Risk-Minimization
Criterion in an Incomplete Market},
journal = {J. Appl. Math.},
volume = {2013},
pages = {175269:1--175269:11},
year = {2013},
url = {https://doi.org/10.1155/2013/175269},
doi = {10.1155/2013/175269},
timestamp = {Thu, 16 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jam/RuanZHL13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icebe/RampersaudG13,
author = {Safraz Rampersaud and
Daniel Grosu},
title = {Digital Cancellation Event Options in Limit Order Markets with Automated
Liquidity Self-Provisioning},
booktitle = {{IEEE} 10th International Conference on e-Business Engineering, {ICEBE}
2013, Coventry, United Kingdom, September 11-13, 2013},
pages = {38--43},
publisher = {{IEEE} Computer Society},
year = {2013},
url = {https://doi.org/10.1109/ICEBE.2013.6},
doi = {10.1109/ICEBE.2013.6},
timestamp = {Fri, 24 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icebe/RampersaudG13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/corr/NieY13,
author = {Kai Nie and
Man Yu},
title = {Research on fresh agriculture product based on overconfidence of the
retailer under options and spot markets dominated},
journal = {CoRR},
volume = {abs/1312.2203},
year = {2013},
url = {http://arxiv.org/abs/1312.2203},
eprinttype = {arXiv},
eprint = {1312.2203},
timestamp = {Mon, 13 Aug 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/corr/NieY13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/advcs/QiuKJS12,
author = {G. Qiu and
Drona Kandhai and
Neil F. Johnson and
Peter M. A. Sloot},
title = {Understanding Complex Dynamics in derivatives Finance: Why do Options
Markets Smile?},
journal = {Adv. Complex Syst.},
volume = {15},
number = {7},
year = {2012},
url = {https://doi.org/10.1142/S0219525912500506},
doi = {10.1142/S0219525912500506},
timestamp = {Thu, 08 Oct 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/advcs/QiuKJS12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/eswa/AhnKOK12,
author = {Jae Joon Ahn and
Dong Ha Kim and
Kyong Joo Oh and
Tae Yoon Kim},
title = {Applying option Greeks to directional forecasting of implied volatility
in the options market: An intelligent approach},
journal = {Expert Syst. Appl.},
volume = {39},
number = {10},
pages = {9315--9322},
year = {2012},
url = {https://doi.org/10.1016/j.eswa.2012.02.070},
doi = {10.1016/J.ESWA.2012.02.070},
timestamp = {Mon, 03 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/eswa/AhnKOK12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/isr/YangLOAP12,
author = {Sung{-}Byung Yang and
Jee{-}Hae Lim and
Wonseok Oh and
Animesh Animesh and
Alain Pinsonneault},
title = {Research Note - Using Real Options to Investigate the Market Value
of Virtual World Businesses},
journal = {Inf. Syst. Res.},
volume = {23},
number = {3-2},
pages = {1011--1029},
year = {2012},
url = {https://doi.org/10.1287/isre.1110.0397},
doi = {10.1287/ISRE.1110.0397},
timestamp = {Fri, 13 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/isr/YangLOAP12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mcs/CompanyJP12,
author = {Rafael Company and
Lucas J{\'{o}}dar and
Jos{\'{e}} Ram{\'{o}}n Pintos},
title = {A consistent stable numerical scheme for a nonlinear option pricing
model in illiquid markets},
journal = {Math. Comput. Simul.},
volume = {82},
number = {10},
pages = {1972--1985},
year = {2012},
url = {https://doi.org/10.1016/j.matcom.2010.04.026},
doi = {10.1016/J.MATCOM.2010.04.026},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mcs/CompanyJP12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/cifer/CheungC12,
author = {William M. Cheung and
Conrad L. Cheng},
title = {Order aggressiveness of option market: Evidence from the 2008 credit
crisis},
booktitle = {Proceedings of the 2012 {IEEE} Conference on Computational Intelligence
for Financial Engineering {\&} Economics, CIFEr 2012, New York
City, NY, USA, March 29-30, 2012},
pages = {1--5},
publisher = {{IEEE}},
year = {2012},
url = {https://doi.org/10.1109/CIFEr.2012.6327817},
doi = {10.1109/CIFER.2012.6327817},
timestamp = {Thu, 24 Jun 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/cifer/CheungC12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/ucc/ToosiTB12,
author = {Adel Nadjaran Toosi and
Ruppa K. Thulasiram and
Rajkumar Buyya},
title = {Financial Option Market Model for Federated Cloud Environments},
booktitle = {{IEEE} Fifth International Conference on Utility and Cloud Computing,
{UCC} 2012, Chicago, IL, USA, November 5-8, 2012},
pages = {3--12},
publisher = {{IEEE} Computer Society},
year = {2012},
url = {https://doi.org/10.1109/UCC.2012.42},
doi = {10.1109/UCC.2012.42},
timestamp = {Thu, 23 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/ucc/ToosiTB12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/appml/LiuW11,
author = {Yifang Liu and
Deng{-}Shan Wang},
title = {Symmetry analysis of the option pricing model with dividend yield
from financial markets},
journal = {Appl. Math. Lett.},
volume = {24},
number = {4},
pages = {481--486},
year = {2011},
url = {https://doi.org/10.1016/j.aml.2010.10.046},
doi = {10.1016/J.AML.2010.10.046},
timestamp = {Fri, 26 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/appml/LiuW11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cma/ElliottLS11,
author = {Robert J. Elliott and
Chuin Ching Liew and
Tak Kuen Siu},
title = {Characteristic functions and option valuation in a Markov chain market},
journal = {Comput. Math. Appl.},
volume = {62},
number = {1},
pages = {65--74},
year = {2011},
url = {https://doi.org/10.1016/j.camwa.2011.04.050},
doi = {10.1016/J.CAMWA.2011.04.050},
timestamp = {Thu, 11 Feb 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/cma/ElliottLS11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/eswa/YangLOL11,
author = {Seung{-}Ho Yang and
Younhee Lee and
Gabjin Oh and
Jaewook Lee},
title = {Calibrating parametric exponential L{\'{e}}vy models to option
market data by incorporating statistical moments priors},
journal = {Expert Syst. Appl.},
volume = {38},
number = {5},
pages = {4816--4823},
year = {2011},
url = {https://doi.org/10.1016/j.eswa.2010.09.164},
doi = {10.1016/J.ESWA.2010.09.164},
timestamp = {Thu, 26 Apr 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/eswa/YangLOL11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mansci/KostakisPS11,
author = {Alexandros Kostakis and
Nikolaos Panigirtzoglou and
George Skiadopoulos},
title = {Market Timing with Option-Implied Distributions: {A} Forward-Looking
Approach},
journal = {Manag. Sci.},
volume = {57},
number = {7},
pages = {1231--1249},
year = {2011},
url = {https://doi.org/10.1287/mnsc.1110.1346},
doi = {10.1287/MNSC.1110.1346},
timestamp = {Tue, 30 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mansci/KostakisPS11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/tmis/DuDGR11,
author = {Anna Ye Du and
Sanjukta Das and
Ram D. Gopal and
Ram Ramesh},
title = {Risk hedging in storage grid markets: Do options add value to forwards?},
journal = {{ACM} Trans. Manag. Inf. Syst.},
volume = {2},
number = {2},
pages = {10:1--10:23},
year = {2011},
url = {https://doi.org/10.1145/1985347.1985351},
doi = {10.1145/1985347.1985351},
timestamp = {Wed, 12 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/tmis/DuDGR11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaart/RogersC11,
author = {Owen Rogers and
Dave Cliff},
editor = {Joaquim Filipe and
Ana L. N. Fred},
title = {The Effects of Market Demand on Truthfulness in a Computing Resource
Options Market},
booktitle = {{ICAART} 2011 - Proceedings of the 3rd International Conference on
Agents and Artificial Intelligence, Volume 2 - Agents, Rome, Italy,
January 28-30, 2011},
pages = {330--335},
publisher = {SciTePress},
year = {2011},
timestamp = {Fri, 08 Jul 2011 08:36:50 +0200},
biburl = {https://dblp.org/rec/conf/icaart/RogersC11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icnsc/WeidenaarHW11,
author = {Taede Weidenaar and
Sipke Hoekstra and
Mannes Wolters},
title = {Development options for the Dutch gas distribution grid in a changing
gas market},
booktitle = {Proceedings of the {IEEE} International Conference on Networking,
Sensing and Control, {ICNSC} 2011, Delft, The Netherlands, 11-13 April
2011},
pages = {32--37},
publisher = {{IEEE}},
year = {2011},
url = {https://doi.org/10.1109/ICNSC.2011.5874877},
doi = {10.1109/ICNSC.2011.5874877},
timestamp = {Wed, 16 Oct 2019 14:14:51 +0200},
biburl = {https://dblp.org/rec/conf/icnsc/WeidenaarHW11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/candie/BanerjeeS10,
author = {Snigdha Banerjee and
Ashish Sharma},
title = {Inventory model for seasonal demand with option to change the market},
journal = {Comput. Ind. Eng.},
volume = {59},
number = {4},
pages = {807--818},
year = {2010},
url = {https://doi.org/10.1016/j.cie.2010.08.008},
doi = {10.1016/J.CIE.2010.08.008},
timestamp = {Thu, 20 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/candie/BanerjeeS10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cma/CompanyJPB10,
author = {Rafael Company and
Lucas J{\'{o}}dar and
Enrique Ponsoda and
Cristina Ballester},
title = {Numerical analysis and simulation of option pricing problems modeling
illiquid markets},
journal = {Comput. Math. Appl.},
volume = {59},
number = {8},
pages = {2964--2975},
year = {2010},
url = {https://doi.org/10.1016/j.camwa.2010.02.014},
doi = {10.1016/J.CAMWA.2010.02.014},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cma/CompanyJPB10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ijbpscm/Srinivasan10,
author = {Palamalai Srinivasan},
title = {Do futures and options trading increase spot market volatility in
India? The case of S{\&}P {CNX} Nifty},
journal = {Int. J. Bus. Perform. Supply Chain Model.},
volume = {2},
number = {2},
pages = {134--145},
year = {2010},
url = {https://doi.org/10.1504/IJBPSCM.2010.036166},
doi = {10.1504/IJBPSCM.2010.036166},
timestamp = {Thu, 21 May 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/ijbpscm/Srinivasan10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ijcm/YinYZ10,
author = {Gang George Yin and
Jie Yu and
Qing Zhang},
title = {A stochastic approximation algorithm for option pricing model calibration
with a switchable market},
journal = {Int. J. Comput. Math.},
volume = {87},
number = {15},
pages = {3525--3545},
year = {2010},
url = {https://doi.org/10.1080/00207160903128505},
doi = {10.1080/00207160903128505},
timestamp = {Tue, 21 May 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/ijcm/YinYZ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ijmmsc/Kountzakis10,
author = {Christos E. Kountzakis},
title = {The Completion of Real-Asset Markets by Options},
journal = {Int. J. Math. Math. Sci.},
volume = {2010},
pages = {139690:1--139690:20},
year = {2010},
url = {https://doi.org/10.1155/2010/139690},
doi = {10.1155/2010/139690},
timestamp = {Mon, 08 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/ijmmsc/Kountzakis10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ijtm/AthwalHT10,
author = {Bal Athwal and
Fotios C. Harmantzis and
Venkata Praveen Tanguturi},
title = {Valuing Hosted VoIP services in the enterprise market: case application
using real options},
journal = {Int. J. Technol. Manag.},
volume = {49},
number = {1/2/3},
pages = {250--271},
year = {2010},
url = {https://doi.org/10.1504/IJTM.2010.029420},
doi = {10.1504/IJTM.2010.029420},
timestamp = {Fri, 22 May 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/ijtm/AthwalHT10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mcm/CompanyJP10,
author = {Rafael Company and
Lucas J{\'{o}}dar and
Jos{\'{e}} Ram{\'{o}}n Pintos},
title = {Numerical analysis and computing for option pricing models in illiquid
markets},
journal = {Math. Comput. Model.},
volume = {52},
number = {7-8},
pages = {1066--1073},
year = {2010},
url = {https://doi.org/10.1016/j.mcm.2010.02.037},
doi = {10.1016/J.MCM.2010.02.037},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mcm/CompanyJP10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BensoussanDH10,
author = {Alain Bensoussan and
J. David Diltz and
SingRu Celine Hoe},
title = {Real Options Games in Complete and Incomplete Markets with Several
Decision Makers},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {666--728},
year = {2010},
url = {https://doi.org/10.1137/090768060},
doi = {10.1137/090768060},
timestamp = {Tue, 05 Mar 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BensoussanDH10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/atal/RobuVGJ10,
author = {Valentin Robu and
Ioannis A. Vetsikas and
Enrico H. Gerding and
Nicholas R. Jennings},
editor = {Wiebe van der Hoek and
Gal A. Kaminka and
Yves Lesp{\'{e}}rance and
Michael Luck and
Sandip Sen},
title = {Flexibly priced options: a new mechanism for sequential auction markets
with complementary goods},
booktitle = {9th International Conference on Autonomous Agents and Multiagent Systems
{(AAMAS} 2010), Toronto, Canada, May 10-14, 2010, Volume 1-3},
pages = {1485--1486},
publisher = {{IFAAMAS}},
year = {2010},
url = {https://dl.acm.org/citation.cfm?id=1838444},
timestamp = {Fri, 30 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/atal/RobuVGJ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/cdc/YinYZ10,
author = {Gang George Yin and
Jie Yu and
Qing Zhang},
title = {Option pricing, model calibration, and prediction with a switchable
market: {A} stochastic approximation algorithm},
booktitle = {Proceedings of the 49th {IEEE} Conference on Decision and Control,
{CDC} 2010, December 15-17, 2010, Atlanta, Georgia, {USA}},
pages = {6997--7002},
publisher = {{IEEE}},
year = {2010},
url = {https://doi.org/10.1109/CDC.2010.5717667},
doi = {10.1109/CDC.2010.5717667},
timestamp = {Fri, 04 Mar 2022 13:28:01 +0100},
biburl = {https://dblp.org/rec/conf/cdc/YinYZ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icwet/VyasP10,
author = {Divyang Vyas and
Pandya},
editor = {B. K. Mishra},
title = {Microcontrollers: options and trends in today's market},
booktitle = {Proceedings of the {ICWET} '10 International Conference {\&} Workshop
on Emerging Trends in Technology, Mumbai, Maharashtra, India, February
26 - 27, 2010},
pages = {1019},
publisher = {{ACM}},
year = {2010},
url = {https://doi.org/10.1145/1741906.1742222},
doi = {10.1145/1741906.1742222},
timestamp = {Tue, 06 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icwet/VyasP10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/smps/CapotortiRV10,
author = {Andrea Capotorti and
Giuliana Regoli and
Francesca Vattari},
editor = {Christian Borgelt and
Gil Gonz{\'{a}}lez{-}Rodr{\'{\i}}guez and
Wolfgang Trutschnig and
Mar{\'{\i}}a Asunci{\'{o}}n Lubiano and
Mar{\'{\i}}a {\'{A}}ngeles Gil and
Przemyslaw Grzegorzewski and
Olgierd Hryniewicz},
title = {Option Pricing in Incomplete Markets Based on Partial Information},
booktitle = {Combining Soft Computing and Statistical Methods in Data Analysis,
{SMPS} 2010, Oviedo, Spain, September 29 - October 1, 2010},
series = {Advances in Intelligent and Soft Computing},
volume = {77},
pages = {73--80},
publisher = {Springer},
year = {2010},
url = {https://doi.org/10.1007/978-3-642-14746-3\_10},
doi = {10.1007/978-3-642-14746-3\_10},
timestamp = {Tue, 14 Aug 2018 10:40:39 +0200},
biburl = {https://dblp.org/rec/conf/smps/CapotortiRV10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:journals/procedia/QiuKS10,
author = {G. Qiu and
Drona Kandhai and
Peter M. A. Sloot},
editor = {Peter M. A. Sloot and
G. Dick van Albada and
Jack J. Dongarra},
title = {Modeling options markets by focusing on active tradersr},
booktitle = {Proceedings of the International Conference on Computational Science,
{ICCS} 2010, University of Amsterdam, The Netherlands, May 31 - June
2, 2010},
series = {Procedia Computer Science},
volume = {1},
number = {1},
pages = {2457--2462},
publisher = {Elsevier},
year = {2010},
url = {https://doi.org/10.1016/j.procs.2010.04.277},
doi = {10.1016/J.PROCS.2010.04.277},
timestamp = {Thu, 08 Jul 2021 14:29:22 +0200},
biburl = {https://dblp.org/rec/journals/procedia/QiuKS10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ior/Martinez-de-AlbenizS09,
author = {V{\'{\i}}ctor Mart{\'{\i}}nez{-}de{-}Alb{\'{e}}niz and
David Simchi{-}Levi},
title = {Competition in the Supply Option Market},
journal = {Oper. Res.},
volume = {57},
number = {5},
pages = {1082--1097},
year = {2009},
url = {https://doi.org/10.1287/opre.1090.0735},
doi = {10.1287/OPRE.1090.0735},
timestamp = {Tue, 29 Dec 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/ior/Martinez-de-AlbenizS09.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jota/YinWQ09,
author = {Hongxia Yin and
Y. Wang and
Liqun Qi},
title = {Shape-Preserving Interpolation and Smoothing for Options Market Implied
Volatility},
journal = {J. Optimization Theory and Applications},
volume = {142},
number = {1},
pages = {243--266},
year = {2009},
url = {https://doi.org/10.1007/s10957-009-9541-4},
doi = {10.1007/S10957-009-9541-4},
timestamp = {Tue, 17 Sep 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jota/YinWQ09.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/orl/BasuG09,
author = {Arnab Basu and
Mrinal K. Ghosh},
title = {Asymptotic analysis of option pricing in a Markov modulated market},
journal = {Oper. Res. Lett.},
volume = {37},
number = {6},
pages = {415--419},
year = {2009},
url = {https://doi.org/10.1016/j.orl.2009.06.005},
doi = {10.1016/J.ORL.2009.06.005},
timestamp = {Sat, 27 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/orl/BasuG09.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/rda/LiK09,
author = {Lide Li and
Paul R. Kleindorfer},
title = {On hedging spark spread options in electricity markets},
journal = {Risk Decis. Anal.},
volume = {1},
number = {4},
pages = {211--220},
year = {2009},
url = {https://doi.org/10.3233/RDA-2009-0018},
doi = {10.3233/RDA-2009-0018},
timestamp = {Tue, 01 Sep 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/rda/LiK09.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamco/GhoshG09,
author = {Mrinal K. Ghosh and
Anindya Goswami},
title = {Risk Minimizing Option Pricing in a Semi-Markov Modulated Market},
journal = {{SIAM} J. Control. Optim.},
volume = {48},
number = {3},
pages = {1519--1541},
year = {2009},
url = {https://doi.org/10.1137/080716839},
doi = {10.1137/080716839},
timestamp = {Thu, 09 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamco/GhoshG09.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/ecis/Bulchand-Gidumal09,
author = {Jacques Bulchand{-}Gidumal},
editor = {Susan Newell and
Edgar A. Whitley and
Nancy Pouloudi and
Jonathan Wareham and
Lars Mathiassen},
title = {Internal markets as a sourcing option for the delivery of {IS} services:
Improving outsourcing and insourcing},
booktitle = {17th European Conference on Information Systems, {ECIS} 2009, Verona,
Italy, 2009},
pages = {1758--1767},
year = {2009},
url = {http://aisel.aisnet.org/ecis2009/330},
timestamp = {Mon, 05 Dec 2016 15:14:00 +0100},
biburl = {https://dblp.org/rec/conf/ecis/Bulchand-Gidumal09.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@phdthesis{DBLP:phd/ethos/Espinosa08,
author = {Omar Baqueiro Espinosa},
title = {Agent Risk Management in Electronic Markets Using Option Derivatives},
school = {University of Liverpool, {UK}},
year = {2008},
url = {https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.502160},
timestamp = {Tue, 05 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/phd/ethos/Espinosa08.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/amc/IsraelR08,
author = {V. P. Israel and
Mauro Antonio Rincon},
title = {Variational inequalities applied to option market problem},
journal = {Appl. Math. Comput.},
volume = {201},
number = {1-2},
pages = {384--397},
year = {2008},
url = {https://doi.org/10.1016/j.amc.2007.12.033},
doi = {10.1016/J.AMC.2007.12.033},
timestamp = {Thu, 21 Jan 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/amc/IsraelR08.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/amc/Markolefas08,
author = {Stilianos Markolefas},
title = {Standard Galerkin formulation with high order Lagrange finite elements
for option markets pricing},
journal = {Appl. Math. Comput.},
volume = {195},
number = {2},
pages = {707--720},
year = {2008},
url = {https://doi.org/10.1016/j.amc.2007.05.017},
doi = {10.1016/J.AMC.2007.05.017},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/amc/Markolefas08.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/SchweizerW08,
author = {Martin Schweizer and
Johannes Wissel},
title = {Arbitrage-free market models for option prices: the multi-strike case},
journal = {Finance Stochastics},
volume = {12},
number = {4},
pages = {469--505},
year = {2008},
url = {https://doi.org/10.1007/s00780-008-0068-6},
doi = {10.1007/S00780-008-0068-6},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/SchweizerW08.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mcs/Li08,
author = {Ming{-}Yuan Leon Li},
title = {Clarifying the dynamics of the relationship between option and stock
markets using the threshold vector error correction model},
journal = {Math. Comput. Simul.},
volume = {79},
number = {3},
pages = {511--520},
year = {2008},
url = {https://doi.org/10.1016/j.matcom.2008.02.023},
doi = {10.1016/J.MATCOM.2008.02.023},
timestamp = {Wed, 04 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/mcs/Li08.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/hicss/AshuriRB08,
author = {Baabak Ashuri and
William B. Rouse and
Douglas A. Bodner},
title = {A Real-Options Approach to Modeling Investments in Competitive, Dynamic
Retail Markets},
booktitle = {41st Hawaii International International Conference on Systems Science
{(HICSS-41} 2008), Proceedings, 7-10 January 2008, Waikoloa, Big Island,
HI, {USA}},
pages = {93},
publisher = {{IEEE} Computer Society},
year = {2008},
url = {https://doi.org/10.1109/HICSS.2008.36},
doi = {10.1109/HICSS.2008.36},
timestamp = {Fri, 24 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/hicss/AshuriRB08.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/wsc/Hsieh08,
author = {Ming{-}Hua Hsieh},
editor = {Scott J. Mason and
Raymond R. Hill and
Lars M{\"{o}}nch and
Oliver Rose and
Thomas Jefferson and
John W. Fowler},
title = {Valuation of variable annuity contracts with cliquet options in Asia
markets},
booktitle = {Proceedings of the 2008 Winter Simulation Conference, Global Gateway
to Discovery, {WSC} 2008, InterContinental Hotel, Miami, Florida,
USA, December 7-10, 2008},
pages = {602--606},
publisher = {{WSC}},
year = {2008},
url = {https://doi.org/10.1109/WSC.2008.4736119},
doi = {10.1109/WSC.2008.4736119},
timestamp = {Fri, 19 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/wsc/Hsieh08.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/amc/SunYL07,
author = {Chao Sun and
Jing{-}Yang Yang and
Sheng{-}Hong Li},
title = {On barrier option pricing in binomial market with transaction costs},
journal = {Appl. Math. Comput.},
volume = {189},
number = {2},
pages = {1505--1516},
year = {2007},
url = {https://doi.org/10.1016/j.amc.2006.12.028},
doi = {10.1016/J.AMC.2006.12.028},
timestamp = {Fri, 21 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/amc/SunYL07.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/amc/SunYL07a,
author = {Chao Sun and
Jing{-}Yang Yang and
Sheng{-}Hong Li},
title = {On reset option pricing in binomial market with both fixed and proportional
transaction costs},
journal = {Appl. Math. Comput.},
volume = {193},
number = {1},
pages = {143--153},
year = {2007},
url = {https://doi.org/10.1016/j.amc.2007.03.042},
doi = {10.1016/J.AMC.2007.03.042},
timestamp = {Fri, 21 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/amc/SunYL07a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mcs/KazmerchukSW07,
author = {Yuriy Kazmerchuk and
Anatoliy Swishchuk and
Jianhong Wu},
title = {The pricing of options for securities markets with delayed response},
journal = {Math. Comput. Simul.},
volume = {75},
number = {3-4},
pages = {69--79},
year = {2007},
url = {https://doi.org/10.1016/j.matcom.2006.09.002},
doi = {10.1016/J.MATCOM.2006.09.002},
timestamp = {Wed, 04 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/mcs/KazmerchukSW07.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/acc/Zhu07,
author = {Qiji Zhu},
title = {Investment system specific option pricing intervals in incomplete
markets},
booktitle = {American Control Conference, {ACC} 2007, New York, NY, USA, 9-13 July,
2007},
pages = {402--407},
publisher = {{IEEE}},
year = {2007},
url = {https://doi.org/10.1109/ACC.2007.4283149},
doi = {10.1109/ACC.2007.4283149},
timestamp = {Fri, 03 Dec 2021 13:01:26 +0100},
biburl = {https://dblp.org/rec/conf/acc/Zhu07.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/atal/RenSZ07,
author = {Fenghui Ren and
Kwang Mong Sim and
Minjie Zhang},
editor = {Edmund H. Durfee and
Makoto Yokoo and
Michael N. Huhns and
Onn Shehory},
title = {Market-driven agents with uncertain and dynamic outside options},
booktitle = {6th International Joint Conference on Autonomous Agents and Multiagent
Systems {(AAMAS} 2007), Honolulu, Hawaii, USA, May 14-18, 2007},
pages = {106},
publisher = {{IFAAMAS}},
year = {2007},
url = {https://doi.org/10.1145/1329125.1329256},
doi = {10.1145/1329125.1329256},
timestamp = {Sun, 25 Oct 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/atal/RenSZ07.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/ecis/BartelsB07,
author = {Patrick Bartels and
Michael H. Breitner},
editor = {Hubert {\"{O}}sterle and
Joachim Schelp and
Robert Winter},
title = {Real-Time Market Valuation of Options Based on Web Mining and Neurosimulation},
booktitle = {Proceedings of the Fifteenth European Conference on Information Systems,
{ECIS} 2007, St. Gallen, Switzerland, 2007},
pages = {466--477},
publisher = {University of St. Gallen},
year = {2007},
url = {http://aisel.aisnet.org/ecis2007/54},
timestamp = {Wed, 24 Jul 2019 16:44:05 +0200},
biburl = {https://dblp.org/rec/conf/ecis/BartelsB07.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/gecco/WongS07,
author = {Sor Ying (Byron) Wong and
Sonia Schulenburg},
editor = {Dirk Thierens},
title = {Portfolio allocation using {XCS} experts in technical analysis, market
conditions and options market},
booktitle = {Genetic and Evolutionary Computation Conference, {GECCO} 2007, Proceedings,
London, England, UK, July 7-11, 2007, Companion Material},
pages = {2965--2972},
publisher = {{ACM}},
year = {2007},
url = {https://doi.org/10.1145/1274000.1274065},
doi = {10.1145/1274000.1274065},
timestamp = {Tue, 06 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/gecco/WongS07.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ijinfoman/HagendorffHK06,
author = {Jens Hagendorff and
Robert Hudson and
Kevin Keasey},
title = {Electronic trading platforms and the cost-effective distribution of
open market option {(OMO)} pension annuities},
journal = {Int. J. Inf. Manag.},
volume = {26},
number = {3},
pages = {187--195},
year = {2006},
url = {https://doi.org/10.1016/j.ijinfomgt.2006.01.001},
doi = {10.1016/J.IJINFOMGT.2006.01.001},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/ijinfoman/HagendorffHK06.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mansci/Zhang06,
author = {Ge Zhang},
title = {Market Valuation and Employee Stock Options},
journal = {Manag. Sci.},
volume = {52},
number = {9},
pages = {1377--1393},
year = {2006},
url = {https://doi.org/10.1287/mnsc.1060.0539},
doi = {10.1287/MNSC.1060.0539},
timestamp = {Tue, 30 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mansci/Zhang06.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mmor/AndersonX06,
author = {Edward J. Anderson and
Huifu Xu},
title = {Optimal Supply Functions in Electricity Markets with Option Contracts
and Non-smooth Costs},
journal = {Math. Methods Oper. Res.},
volume = {63},
number = {3},
pages = {387--411},
year = {2006},
url = {https://doi.org/10.1007/s00186-006-0062-8},
doi = {10.1007/S00186-006-0062-8},
timestamp = {Fri, 09 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mmor/AndersonX06.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/iconip/LiangZY06,
author = {Xun Liang and
Haisheng Zhang and
Jian Yang},
editor = {Irwin King and
Jun Wang and
Laiwan Chan and
DeLiang L. Wang},
title = {Pricing Options in Hong Kong Market Based on Neural Networks},
booktitle = {Neural Information Processing, 13th International Conference, {ICONIP}
2006, Hong Kong, China, October 3-6, 2006, Proceedings, Part {III}},
series = {Lecture Notes in Computer Science},
volume = {4234},
pages = {410--419},
publisher = {Springer},
year = {2006},
url = {https://doi.org/10.1007/11893295\_46},
doi = {10.1007/11893295\_46},
timestamp = {Fri, 16 Aug 2024 07:48:40 +0200},
biburl = {https://dblp.org/rec/conf/iconip/LiangZY06.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/apjor/LinS05,
author = {Tyrone T. Lin and
Tung{-}Li Shih},
title = {Applying Real Options and the Maximum {NPV} Rule to Market entry/Exit
Strategies},
journal = {Asia Pac. J. Oper. Res.},
volume = {22},
number = {1},
pages = {71--84},
year = {2005},
url = {https://doi.org/10.1142/S0217595905000443},
doi = {10.1142/S0217595905000443},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/apjor/LinS05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/XekalakiD05,
author = {Evdokia Xekalaki and
Stavros Degiannakis},
title = {Evaluating volatility forecasts in option pricing in the context of
a simulated options market},
journal = {Comput. Stat. Data Anal.},
volume = {49},
number = {2},
pages = {611--629},
year = {2005},
url = {https://doi.org/10.1016/j.csda.2004.05.030},
doi = {10.1016/J.CSDA.2004.05.030},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/XekalakiD05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/eor/MuzzioliT05,
author = {Silvia Muzzioli and
Costanza Torricelli},
title = {The pricing of options on an interval binomial tree. An application
to the DAX-index option market},
journal = {Eur. J. Oper. Res.},
volume = {163},
number = {1},
pages = {192--200},
year = {2005},
url = {https://doi.org/10.1016/j.ejor.2004.01.008},
doi = {10.1016/J.EJOR.2004.01.008},
timestamp = {Fri, 21 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/eor/MuzzioliT05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/MelnikovP05,
author = {Alexander Melnikov and
Yury G. Petrachenko},
title = {On option pricing in binomial market with transaction costs},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {141--149},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0134-7},
doi = {10.1007/S00780-004-0134-7},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/MelnikovP05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mansci/WuK05,
author = {Dongjun Wu and
Paul Kleindorfer},
title = {Competitive Options, Supply Contracting, and Electronic Markets},
journal = {Manag. Sci.},
volume = {51},
number = {3},
pages = {452--466},
year = {2005},
url = {https://doi.org/10.1287/mnsc.1040.0341},
doi = {10.1287/MNSC.1040.0341},
timestamp = {Fri, 15 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/mansci/WuK05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/iccS/BroszkiewiczJ05,
author = {Magdalena Broszkiewicz and
Aleksander Janicki},
editor = {Vaidy S. Sunderam and
G. Dick van Albada and
Peter M. A. Sloot and
Jack J. Dongarra},
title = {Exotic Option Prices Simulated by Monte Carlo Method on Market Driven
by Diffusion with Poisson Jumps and Stochastic Volatility},
booktitle = {Computational Science - {ICCS} 2005, 5th International Conference,
Atlanta, GA, USA, May 22-25, 2005, Proceedings, Part {III}},
series = {Lecture Notes in Computer Science},
volume = {3516},
pages = {1112--1115},
publisher = {Springer},
year = {2005},
url = {https://doi.org/10.1007/11428862\_185},
doi = {10.1007/11428862\_185},
timestamp = {Tue, 14 May 2019 10:00:48 +0200},
biburl = {https://dblp.org/rec/conf/iccS/BroszkiewiczJ05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/apjor/LinW04,
author = {Chin{-}Tsai Lin and
Cheng{-}Ru Wu},
title = {Real Options: batch Process and Market entry/Exit Decisions under
Uncertainty},
journal = {Asia Pac. J. Oper. Res.},
volume = {21},
number = {1},
pages = {35--52},
year = {2004},
url = {https://doi.org/10.1142/S0217595904000023},
doi = {10.1142/S0217595904000023},
timestamp = {Sat, 05 Sep 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/apjor/LinW04.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jet/AliprantisMT04,
author = {Charalambos D. Aliprantis and
Paulo Klinger Monteiro and
Rabee Tourky},
title = {Non-marketed options, non-existence of equilibria, and non-linear
prices},
journal = {J. Econ. Theory},
volume = {114},
number = {2},
pages = {345--357},
year = {2004},
url = {https://doi.org/10.1016/S0022-0531(03)00108-X},
doi = {10.1016/S0022-0531(03)00108-X},
timestamp = {Mon, 24 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/jet/AliprantisMT04.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/kdd/Donoho04,
author = {Steve Donoho},
editor = {Won Kim and
Ron Kohavi and
Johannes Gehrke and
William DuMouchel},
title = {Early detection of insider trading in option markets},
booktitle = {Proceedings of the Tenth {ACM} {SIGKDD} International Conference on
Knowledge Discovery and Data Mining, Seattle, Washington, USA, August
22-25, 2004},
pages = {420--429},
publisher = {{ACM}},
year = {2004},
url = {https://doi.org/10.1145/1014052.1014100},
doi = {10.1145/1014052.1014100},
timestamp = {Tue, 06 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/kdd/Donoho04.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jasss/Sapienza03,
author = {Massimo Sapienza},
title = {Do Real Options perform better than Net Present Value? Testing in
an artificial financial market},
journal = {J. Artif. Soc. Soc. Simul.},
volume = {6},
number = {3},
year = {2003},
url = {http://jasss.soc.surrey.ac.uk/6/3/4.html},
timestamp = {Thu, 09 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jasss/Sapienza03.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jodi/Geyer-SchulzNHS03,
author = {Andreas Geyer{-}Schulz and
Andreas W. Neumann and
Annika Heitmann and
Karsten Stroborn},
title = {Strategic Positioning Options for Scientific Libraries in Markets
of Scientific and Technical Information - the Economic Impact of Digitization},
journal = {J. Digit. Inf.},
volume = {4},
number = {2},
year = {2003},
url = {https://journals.tdl.org/jodi/index.php/jodi/article/view/101},
timestamp = {Tue, 24 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jodi/Geyer-SchulzNHS03.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/hicss/MountSS03,
author = {Timothy Mount and
William Schulze and
Richard E. Schuler},
title = {Markets for Reliability and Financial Options in Electricity: Theory
to Support the Practice},
booktitle = {36th Hawaii International Conference on System Sciences {(HICSS-36}
2003), {CD-ROM} / Abstracts Proceedings, January 6-9, 2003, Big Island,
HI, {USA}},
pages = {53},
publisher = {{IEEE} Computer Society},
year = {2003},
url = {https://doi.org/10.1109/HICSS.2003.10012},
doi = {10.1109/HICSS.2003.10012},
timestamp = {Fri, 24 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/hicss/MountSS03.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icis/AndersonBN02,
author = {Mark Anderson and
Rajiv D. Banker and
Ram Natarajan},
editor = {Francesc Miralles and
Josep Valor},
title = {Incentive Value of Stock Options at Information Technology Companies
in the Down Markets},
booktitle = {Proceedings of the International Conference on Information Systems,
{ICIS} 2002, Barcelona, Spain, December 15-18, 2002},
pages = {6},
publisher = {Association for Information Systems},
year = {2002},
url = {http://aisel.aisnet.org/icis2002/6},
timestamp = {Thu, 16 Aug 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icis/AndersonBN02.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/hicss/PapalexopoulosS01,
author = {Alex Papalexopoulos and
Harry Singh},
title = {On the Various Design Options for Ancillary Services Markets},
booktitle = {34th Annual Hawaii International Conference on System Sciences (HICSS-34),
January 3-6, 2001, Maui, Hawaii, {USA}},
publisher = {{IEEE} Computer Society},
year = {2001},
url = {https://doi.org/10.1109/HICSS.2001.926288},
doi = {10.1109/HICSS.2001.926288},
timestamp = {Fri, 24 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/hicss/PapalexopoulosS01.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/eor/PenningsL00,
author = {Enrico Pennings and
Onno Lint},
title = {Market entry, phased rollout or abandonment? {A} real option approach},
journal = {Eur. J. Oper. Res.},
volume = {124},
number = {1},
pages = {125--138},
year = {2000},
url = {https://doi.org/10.1016/S0377-2217(99)00121-6},
doi = {10.1016/S0377-2217(99)00121-6},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/eor/PenningsL00.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/sigecom/GinisC00,
author = {Roman Ginis and
K. Mani Chandy},
editor = {Anant Jhingran and
Jeff MacKie{-}Mason and
Doug J. Tygar},
title = {Micro-option: a method for optimal selection and atomic reservation
of distributed resources in a free market environment},
booktitle = {Proceedings of the 2nd {ACM} Conference on Electronic Commerce (EC-00),
Minneapolis, MN, USA, October 17-20, 2000},
pages = {207--214},
publisher = {{ACM}},
year = {2000},
url = {https://doi.org/10.1145/352871.352894},
doi = {10.1145/352871.352894},
timestamp = {Sat, 15 May 2021 14:27:12 +0200},
biburl = {https://dblp.org/rec/conf/sigecom/GinisC00.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/cifer/DoffouH99,
author = {Ako Doffou and
Jimmy E. Hilliard},
title = {Testing a jump-diffusion stochastic interest rates model in currency
options markets},
booktitle = {Proceedings of the {IEEE/IAFE} 1999 Conference on Computational Intelligence
for Financial Engineering, CIFEr 1999, New York City, USA, April 27,
1999},
pages = {27--63},
publisher = {{IEEE}},
year = {1999},
url = {https://doi.org/10.1109/CIFER.1999.771105},
doi = {10.1109/CIFER.1999.771105},
timestamp = {Wed, 16 Oct 2019 14:14:52 +0200},
biburl = {https://dblp.org/rec/conf/cifer/DoffouH99.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/cifer/EnglischM95,
author = {Harald Englisch and
Stewart Mayhew},
title = {Artificial market making with neural nets: an application to options},
booktitle = {Proceedings of the {IEEE/IAFE} 1995 Computational Intelligence for
Financial Engineering, CIFEr 1995, New York City, USA, April 9-11,
1995},
pages = {156--159},
publisher = {{IEEE}},
year = {1995},
url = {https://doi.org/10.1109/CIFER.1995.495270},
doi = {10.1109/CIFER.1995.495270},
timestamp = {Wed, 16 Oct 2019 14:14:52 +0200},
biburl = {https://dblp.org/rec/conf/cifer/EnglischM95.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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