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Collateral smile
Leippold, Markus; Su, Lujing - In: Journal of banking & finance 58 (2015), pp. 15-28
Persistent link: https://www.econbiz.de/10011543849
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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - In: Journal of banking & finance 61 (2015) 2, pp. 101-120
Persistent link: https://www.econbiz.de/10011585489
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Robustness of distance-to-default
Jessen, Cathrine; Lando, David - In: Journal of banking & finance 50 (2015), pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
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Pricing average options under time-changed Lévy processes
Yamazaki, Akira - In: Review of derivatives research 17 (2014) 1, pp. 79-111
Persistent link: https://www.econbiz.de/10010519294
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo; Correira-da-Silva, João - In: Review of derivatives research 17 (2014) 2, pp. 125-159
Persistent link: https://www.econbiz.de/10010529639
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Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua; Zhu, Song-Ping; Elliott, Robert J.; … - In: Journal of banking & finance 75 (2017), pp. 167-183
Persistent link: https://www.econbiz.de/10011742159