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New solvable stochastic volatility models for pricing volatility derivatives

Itkin, Andrey - In: Review of Derivatives Research 16 (2013) 2, pp. 111-134

In this paper we discuss a new approach to extend a class of solvable stochastic volatility models (SVM). Usually, classical SVM adopt a CEV process for instantaneous variance where the CEV parameter γ takes just few values: 0—the Ornstein–Uhlenbeck process, 1/2—the Heston (or square...

Persistent link: https://www.econbiz.de/10010989553

The smirk in the S&P500 futures options prices: a linearized factor analysis

Carverhill, Andrew; Cheuk, Terry; Dyrting, Sigurd - In: Review of Derivatives Research 12 (2009) 2, pp. 109-139

Persistent link: https://www.econbiz.de/10005016335

Exchange option pricing under stochastic volatility: a correlation expansion

Antonelli, F.; Ramponi, A.; Scarlatti, S. - In: Review of Derivatives Research 13 (2010) 1, pp. 45-73

Persistent link: https://www.econbiz.de/10010867543

Price discovery in the U.S. stock and stock options markets: A portfolio approach

Holowczak, Richard; Simaan, Yusif; Wu, Liuren - In: Review of Derivatives Research 9 (2006) 1, pp. 37-65

, we use a portfolio of options to seclude the value change of the portfolio from the impact of volatility and higher … moments. We apply this portfolio approach to the price discovery analysis in the U.S. stock and stock options markets. We find … before as an increasing proportion of options market makers adopt automated quoting algorithms. Nevertheless, the options …

Persistent link: https://www.econbiz.de/10005709828

The pricing of Bermudan-style options on correlated assets

Peterson, Sandra; Stapleton, Richard - In: Review of Derivatives Research 5 (2002) 2, pp. 127-151

illustrated by pricing a Bermudan-style put option on the minimum of three asset prices, and by pricing Bermudan-style options on …

Persistent link: https://www.econbiz.de/10005809714

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

Itkin, Andrey; Carr, Peter - In: Review of Derivatives Research 13 (2010) 2, pp. 141-176

Persistent link: https://www.econbiz.de/10008526467

Leverage, options liabilities, and corporate bond pricing

Huang, Hongming; Yildirim, Yildiray - In: Review of Derivatives Research 11 (2008) 3, pp. 245-276

Persistent link: https://www.econbiz.de/10005068001

Are put-call ratios a substitute for short sales?

Blau, Benjamin; Brough, Tyler - In: Review of Derivatives Research 18 (2015) 1, pp. 51-73

<Para ID="Par1">Prior research argues that pessimistic traders can use options as substitutes for short sales …

Persistent link: https://www.econbiz.de/10011242061

Market making and risk management in options markets

Boyd, Naomi - In: Review of Derivatives Research 18 (2015) 1, pp. 1-27

futures options market. Trading activity is found to mirror previous findings in futures markets, specifically high frequency …

Persistent link: https://www.econbiz.de/10011242063