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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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The limitations of estimating implied densities from option prices
Shelton, Austin; Kane, Hayden; Favreau, Charles - In: Quantitative finance 21 (2021) 11, pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
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Pricing Asian options with stochastic convenience yield and jumps
Ewald, Christian; Wu, Yuexiang; Zhang, Aihua - In: Quantitative finance 23 (2023) 4, pp. 677-692
Persistent link: https://www.econbiz.de/10014304306
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Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
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Delta hedging bitcoin options with a smile
Alexander, Carol; Imeraj, Arben - In: Quantitative finance 23 (2023) 5, pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
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Valuation and hedging of cryptocurrency inverse options
Lucic, V.; Sepp, A. - In: Quantitative finance 24 (2024) 7, pp. 851-869
Persistent link: https://www.econbiz.de/10015050801
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The volatility risk premium in the oil market
Bouchouev, Ilia; Johnson, Brett - In: Quantitative finance 22 (2022) 8, pp. 1561-1578
Persistent link: https://www.econbiz.de/10013367929
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Hedging error as generalized timing risk
Akahori, J.; Barsotti, F.; Imamura, Y. - In: Quantitative finance 23 (2023) 4, pp. 693-703
Persistent link: https://www.econbiz.de/10014304316
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
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The QLBS Q-Learner goes NuQLear : fitted Q iteration, inverse RL, and option portfolios
Halperin, Igor - In: Quantitative finance 19 (2019) 9, pp. 1543-1553
Persistent link: https://www.econbiz.de/10012194805