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Improved implementation of local volatility and its application to S&P 500 Index options
Orosi, Greg - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 53-64
Persistent link: https://www.econbiz.de/10003961021
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Estimating option-implied risk-neutral densities : a novel parametric approach
Orosi, Greg - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 41-61
Persistent link: https://www.econbiz.de/10011399802
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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A multi-parameter extension of Figlewski’s option-pricing formula
Orosi, Greg - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 72-82
Persistent link: https://www.econbiz.de/10009316794
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Another look at the Ho-Lee bond option pricing model
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53
Persistent link: https://www.econbiz.de/10011965408