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Valuing complex stock options containing reload features

Hill, John W.; Kamma, Sreenivas; Karam, Yassir - In: Journal of business valuation and economic loss analysis 3 (2008) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10003889408

Understanding index option returns

Broadie, Mark; Chernov, Mikhail; Johannes, Michael - 2007

Persistent link: https://www.econbiz.de/10003473633

Improving portfolio selection using option-implied volatility and skewness

DeMiguel, Victor; Plyakha, Yuliya; Uppal, Raman; … - 2010

Persistent link: https://www.econbiz.de/10003948899

Analytical approximation for the price dynamics of spark spread options

Benth, Fred Espen (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10003559113

Estimating trends in weather series : consequences for pricing derivatives

Jewson, Stephen (contributor); Penzer, Jeremy (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-15

Persistent link: https://www.econbiz.de/10003559115

Pricing synthetic CDOs using a three regime Random-Factor-Loading Model

Messow, Philip - 2012

Synthetic Collateralized Debt Obligations (CDOs) were among the driving forces of the rapid growth of the market for credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is the Random-Factor-Loading-Model of Andersen and Sidenius...