3 citations · 5 across the 9 of their papers we have counts for
12 papers
Option Pricing in an Investment Risk-Return Setting
Abootaleb Shirvani, Frank J. Fabozzi, Stoyan V. Stoyanov
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can constr…
Equity Premium Puzzle or Faulty Economic Modelling?
Abootaleb Shirvani, Stoyan V. Stoyanov, Frank J. Fabozzi +1
In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a mo…
Another Look at the Ho-Lee Bond Option Pricing Model
Young Shin Kim, Stoyan Stoyanov, Svetlozar Rachev +1
In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model.…
Enhancing Binomial and Trinomial Equity Option Pricing Models
Yong Shin Kim, Stoyan Stoyanov, Svetlozar Rachev +1
We extend the classical Cox-Ross-Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree…
Option pricing for Informed Traders
Stoyan V. Stoyanov, Yong Shin Kim, Svetlozar T. Rachev +1
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, v…
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing
Svetlozar Rachev, Stoyan Stoyanov, Frank J. Fabozzi
We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the pric…