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Asymptotic normality for EMS option price estimator with continuous or discontinuous payoff functions
Yuan, Zhushun; Chen, Gemai - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1438-1450
Persistent link: https://www.econbiz.de/10003885452
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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Volatility surface calibration to illiquid options
Nagy, László; Ormos, Mihály - In: The journal of derivatives : the official publication … 26 (2019) 3, pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
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Curve-fitting method for implied volatility
Wu, Desheng Dash; Liu, Tianxiang - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
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Option pricing for a jump-diffusion model with general discrete jump-size distributions
Fu, Michael; Li, Bingqing; Li, Guozhen; Wu, Rongwen - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3961-3977
Persistent link: https://www.econbiz.de/10011772831
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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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Calibration risk for exotic options
Detlefsen, K.; Härdle, Wolfgang - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 47-63
Persistent link: https://www.econbiz.de/10003498957
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Impact of net buying pressure on changes in implied volatility : before and after the onset of the subprime crisis
Shiu, Yung-ming; Pan, Ging-ginq; Lin, Shu-hui; Wu, Tu-cheng - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 54-66
Persistent link: https://www.econbiz.de/10003985513
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Derivative pricing 60 years before black-scholes : evidence from the Johannesburg Stock Exchange
Moore, Lyndon; Juh, Steve - In: The journal of finance : the journal of the American … 61 (2006) 6, pp. 3069-3098
Persistent link: https://www.econbiz.de/10003398551
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993