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Pricing American options when the underlying asset follows GARCH processes
Stentoft, Lars - In: Journal of empirical finance 12 (2005) 4, pp. 576-611
Persistent link: https://www.econbiz.de/10003144806
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Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
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Volatility cones and their sampling properties
Hodges, Stewart D.; Tompkins, Robert G. - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 27-42
Persistent link: https://www.econbiz.de/10001718685
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Assessing the incremental value of option pricing theory relative to an informationally passive benchmark
Figlewski, Stephen - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 80-96
Persistent link: https://www.econbiz.de/10001718716
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Valuation of perpetual strangles : a quasi-analytical approach
Chuang, Chienmin - In: The journal of derivatives : the official publication … 21 (2013) 1, pp. 64-72
Persistent link: https://www.econbiz.de/10010191934
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Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto, Gloria M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
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Pricing and hedging mandatory convertible bonds
Ammann, Manuel; Seiz, Ralf - In: The journal of derivatives : the official publication … 13 (2006) 3, pp. 30-46
Persistent link: https://www.econbiz.de/10003321080
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Cross-sectional analysis of risk-neutral skewness
Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 38-52
Persistent link: https://www.econbiz.de/10003862759
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The normal inverse gaussian distribution and the pricing of derivatives
Eriksson, Anders; Ghysels, Eric; Wang, Fangfang - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 23-37
Persistent link: https://www.econbiz.de/10003852619
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A matrix-based lattice model to value employee stock options
Bajaj, Mukesh; Mazumdar, Sumon C.; Surana, Rahul; Unni, … - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10003379099