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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~person:"Mazzoni, Thomas"
~person:"Orosi, Greg"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Option pricing theory
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Mazzoni, Thomas
Orosi, Greg
Chen, Son-nan
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Wu, Ting-pin
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Ritchken, Peter H.
4
Fabozzi, Frank J.
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Newton, David P.
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
2
Journal of derivatives & hedge funds
2
Annals of financial economics
1
International Journal of Financial Studies : open access journal
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International journal of financial markets and derivatives
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ECONIS (ZBW)
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Estimating
option
-implied risk-neutral densities : a novel parametric approach
Orosi, Greg
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 41-61
Persistent link: https://www.econbiz.de/10011399802
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2
Improved implementation of local volatility and its application to S&P 500 Index options
Orosi, Greg
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 53-64
Persistent link: https://www.econbiz.de/10003961021
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3
A GARCH parameterization of the volatility surface
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 9-24
Persistent link: https://www.econbiz.de/10011399795
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4
A multi-parameter extension of Figlewski’s
option
-pricing formula
Orosi, Greg
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 72-82
Persistent link: https://www.econbiz.de/10009316794
Saved in:
5
Fast analytic
option
valuation with GARCH
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 18-38
Persistent link: https://www.econbiz.de/10008655530
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