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The systematic risk of discretely rebalanced option hedges
Gilster, John E. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 4, pp. 507-516
Persistent link: https://www.econbiz.de/10001098661
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Valuation of foreign currency options : some empir. tests
Shastri, Kuldeep - In: Journal of financial and quantitative analysis : JFQA 21 (1986) 2, pp. 145-160
Persistent link: https://www.econbiz.de/10001010782
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Implied volatilities and transaction costs
Swidler, Steven Mark - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 3, pp. 437-447
Persistent link: https://www.econbiz.de/10001129736
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Errors in implied volatility estimation
Hentschel, Ludger - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 779-810
Persistent link: https://www.econbiz.de/10001859254
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Of smiles and smirks : a term structure perspective
Das, Sanjiv R.; Sundaram, Rangarajan K. - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 211-239
Persistent link: https://www.econbiz.de/10001436315
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Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities
Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 4, pp. 465-497
Persistent link: https://www.econbiz.de/10001256376
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The maximum entropy distribution of an asset inferred from option prices
Buchen, Peter W. - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 1, pp. 143-159
Persistent link: https://www.econbiz.de/10001208197
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On the mean-variance tradeoff in option replication with transactions costs
Toft, Klaus Bjerre - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 2, pp. 233-263
Persistent link: https://www.econbiz.de/10001208255
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Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 61-86
Persistent link: https://www.econbiz.de/10001243204
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Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates
Miltersen, Kristian R. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10001243206