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VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.; Paletta, Tommaso; Stanescu, Silvia; … - In: European journal of operational research : EJOR 254 (2016) 2, pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
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Option valuation under no-arbitrage constraints with neural networks
Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374
Persistent link: https://www.econbiz.de/10012502485
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Pricing exotic derivatives exploiting structure
Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European journal of operational research : EJOR 236 (2014) 1, pp. 369-381
Persistent link: https://www.econbiz.de/10010361703
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Robust option pricing
Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; … - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
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Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: European journal of operational research : EJOR 271 (2018) 1, pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
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Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
Ng, Pin T.; Wong, Wing Keung; Xiao, Zhijie - In: European journal of operational research : EJOR 261 (2017) 2, pp. 666-678
Persistent link: https://www.econbiz.de/10011738062