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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
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FX basket options
Hakala, Jürgen; Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003754877
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Latin hypercube sampling with dependence and applications in finance
Packham, Natalie; Schmidt, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003759970
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Foreign exchange symmetries
Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003737654
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Foreign exchange quanto options
Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003737655
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Vanna-volga pricing
Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003737656
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2009
Persistent link: https://www.econbiz.de/10003901919
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017