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Why do we smile? : On the determinants of the implied volatility function
Peña Sánchez de Rivera, Juan Ignacio; Rubio, Gonzalo; … - In: Journal of banking & finance 23 (1999) 8, pp. 1151-1179
Persistent link: https://www.econbiz.de/10001391604
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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
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Optimal delta hedging for options
Hull, John; White, Alan - In: Journal of banking & finance 82 (2017), pp. 180-190
Persistent link: https://www.econbiz.de/10011816799
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Normal mixture diffusion with uncertain volatility : modelling short- and long-term smile effects
Alexander, Carol - In: Journal of banking & finance 28 (2004) 12, pp. 2957-2980
Persistent link: https://www.econbiz.de/10002410726
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A general closed-form spread option pricing formula
Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013463145
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Model risk and model choice in the case of barrier options and bonus certificates
Baule, Rainer; Shkel, David Sebastian - In: Journal of banking & finance 133 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10013256692
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Smiles all around : FX joint calibration in a multi-Heston model
De Col, Alvise; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of banking & finance 37 (2013) 10, pp. 3799-3818
Persistent link: https://www.econbiz.de/10010126819
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Pricing discrete path-dependent options under a double exponential jump-diffusion model
Fuh, Cheng-der; Luo, Sheng-feng; Yen, Ju-fang - In: Journal of banking & finance 37 (2013) 8, pp. 2702-2713
Persistent link: https://www.econbiz.de/10009776395