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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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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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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
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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A guide to FX options quoting conventions
Reiswich, Dimitri; Wystup, Uwe - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 58-68
Persistent link: https://www.econbiz.de/10008771850
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Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.; Welke, Gerd M. - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 29-47
Persistent link: https://www.econbiz.de/10003733222
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Quanto pricing with copulas
Bennett, Michael N.; Kennedy, Joanne E. - In: The journal of derivatives : the official publication … 12 (2004) 1, pp. 26-45
Persistent link: https://www.econbiz.de/10002210955
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Enhancing the accuracy of pricing American and Bermudan options
Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 34-44
Persistent link: https://www.econbiz.de/10003010747
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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759