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The adaptive mesh model : a new approach to efficient option pricing
Figlewski, Stephen; Gao, Bin - In: Journal of financial economics 53 (1999) 3, pp. 313-351
Persistent link: https://www.econbiz.de/10001394622
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The leverage effect and the basket-index put spread
Bai, Jennie; Goldstein, Robert S.; Yang, Fan - In: Journal of financial economics 131 (2019) 1, pp. 186-205
Persistent link: https://www.econbiz.de/10012130889
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Trading VIX futures under mean reversion with regime switching
Li, Jiao - In: International journal of financial engineering 3 (2016) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10011588132
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Capital structure effects on the prices of equity call options
Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
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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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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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The bright side of financial derivatives : options trading and firm innovation
Blanco, Iván; Wehrheim, David - In: Journal of financial economics 125 (2017) 1, pp. 99-119
Persistent link: https://www.econbiz.de/10011751610
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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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Mean-variance hedging with model risk
Matsumoto, Koichi - In: International journal of financial engineering 4 (2017) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10011807096