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An empirical model comparison for valuing crack spread options
Mahringer, Steffen; Prokopczuk, Marcel - In: Energy economics 51 (2015), pp. 177-187
Persistent link: https://www.econbiz.de/10011564825
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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
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Price impacts of imperfect collateralization
Shiraya, Kenichiro; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011532751
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On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Pellegrino, Tommaso; Sabino, Piergiacomo - In: Energy economics 45 (2014), pp. 172-185
Persistent link: https://www.econbiz.de/10010504771
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Hedging and pricing illiquid options with market impacts
Saito, Taiga - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-37
Persistent link: https://www.econbiz.de/10011778270
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Negative interest rates effects on option pricing : back to basics?
Burro, Giacomo; Giribone, Pier Giuseppe; Ligato, Simone; … - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-27
Persistent link: https://www.econbiz.de/10011778279
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Analytical approximation for spread option pricing in local volatility model
Yang, Ying - In: International journal of financial engineering 4 (2017) 4, pp. 1-17
Persistent link: https://www.econbiz.de/10011807086
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Implied volatility surfaces during the period of global financial crisis
Wirjanto, Tony S.; Zhu, Anyi - In: International journal of financial engineering 5 (2018) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011922944
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Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10011493322