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Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
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Evolution of interest rate models : a comparison
Ho, Thomas S. Y. - In: The journal of derivatives : the official publication … 2 (1995) 4, pp. 9-20
Persistent link: https://www.econbiz.de/10001223174
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Uncovering the distribution of option implied risk aversion
Kyriacou, Maria; Olmo, Jose; Strittmatter, Marius - In: Journal of mathematical finance 9 (2019) 2, pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
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On perpetual American strangles
Moraux, Franck - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 82-97
Persistent link: https://www.econbiz.de/10003862829
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Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
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Four things you might not know about the Black-Scholes formula
Poulsen, Rolf - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 77-81
Persistent link: https://www.econbiz.de/10003673319
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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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Static hedging of timing risk
Carr, Peter; Picron, Jean-Francois - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 57-70
Persistent link: https://www.econbiz.de/10001432497
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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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Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10003852622