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Search: "The journal of derivatives : the official publication of the International Association of Financial Engineers."
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Simon, David P.
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Carr, Peter
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Costabile, Massimo
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Engle, Robert F.
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Liu, Tianxiang
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The journal of derivatives : the official publication of the International Association of Financial Engineers
80
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ECONIS (ZBW)
80
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21
Calibrating and pricing with a stochastic-local volatility model
Tian, Yu
;
Zhu, Zili
;
Lee, Geoffrey
;
Klebaner, Fima C.
; …
- In:
The journal of derivatives : the official publication …
22
(
2015
)
3
,
pp. 21-39
Persistent link: https://www.econbiz.de/10011399673
Saved in:
22
The VIX futures basis : evidence and trading strategies
Simon, David P.
;
Campasano, Jim
- In:
The journal of derivatives : the official publication …
21
(
2014
)
3
,
pp. 54-69
Persistent link: https://www.econbiz.de/10010387686
Saved in:
23
Implied volatility dynamics among exchange-traded funds and their largest component stocks
Krause, Timothy A.
;
Lien, Da-hsiang Donald
- In:
The journal of derivatives : the official publication …
22
(
2014
)
1
,
pp. 7-26
Persistent link: https://www.econbiz.de/10011634574
Saved in:
24
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Saved in:
25
Valuation of perpetual strangles : a quasi-analytical approach
Chuang, Chienmin
- In:
The journal of derivatives : the official publication …
21
(
2013
)
1
,
pp. 64-72
Persistent link: https://www.econbiz.de/10010191934
Saved in:
26
Determinants of trading activity on the single-stock future market : evidence from the Eurex Exchange
Białkowski, Je̜drzej
;
Jakubowski, Jacek
- In:
The journal of derivatives : the official publication …
19
(
2012
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10009671108
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27
Pricing American options in the Heston model : a close look at incorporating correlation
Ruckdeschel, Peter
;
Sayer, Tilman
;
Szimayer, Alexander
- In:
The journal of derivatives : the official publication …
20
(
2012
)
3
,
pp. 9-29
Persistent link: https://www.econbiz.de/10009725351
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28
A forward shooting grid method for option pricing with stochastic volatility
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
The journal of derivatives : the official publication …
20
(
2012
)
2
,
pp. 67-78
Persistent link: https://www.econbiz.de/10009718105
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29
Correlation, smile, volatility skew, and systematic risk sensitivity of tranches
Hamerle, Alfred
;
Igl, Andreas
;
Plank, Kilian
- In:
The journal of derivatives : the official publication …
19
(
2012
)
3
,
pp. 9-27
Persistent link: https://www.econbiz.de/10009671109
Saved in:
30
Risk, return, and ross recovery
Carr, Peter
;
Yu, Jiming
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 38-59
Persistent link: https://www.econbiz.de/10009671710
Saved in:
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