3 citations · 5 across the 7 of their papers we have counts for
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q-fin.PR2021★ 1 cited
On the RND under Heston's stochastic volatility model
Ben Boukai
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (semi) closed form solutions are available and are given in terms of characterist…
q-fin.PR2020
How much is your Strangle worth? On the relative value of the Symmetric Strangle under the Black-Scholes model
Ben Boukai
Trading option strangles is a highly popular strategy often used by market participants to mitigate volatility risks in their portfolios. In this paper we propose a measure of the…