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Optimal derivative liquidation timing under path-dependent risk penalties

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Pricing interest rate derivatives with model risk

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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

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Pricings and hedgings of the perpetual Russian options

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Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

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Short maturity options for Azéma-Yor martingales

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Does model misspecification matter for hedging? : a computational finance experiment based approach

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Too-Systemic-To-Fail : What Option Markets Imply About Sector-Wide Government Guarantees

Kelly, Bryan T. - 2011

Investors in option markets price in a substantial collective government bailout guarantee in the financial sector, which puts a floor on the equity value of the financial sector as a whole, but not on the value of the individual firms. The guarantee makes put options on the financial sector...

Persistent link: https://www.econbiz.de/10013123683