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A forward started jump-diffusion model and pricing of cliquet style exotics
Drimus, Gabriel - In: Review of derivatives research 13 (2010) 2, pp. 125-140
Persistent link: https://www.econbiz.de/10008695496
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Model misspecification analysis for bond options and Markovian hedging strategies
Bossy, Mireille; Gibson, Rajna; Lhabitant, François-Serge - In: Review of derivatives research 9 (2006) 2, pp. 109-135
Persistent link: https://www.econbiz.de/10003608131
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The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
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Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric; Eghbalzadeh, Ramin; Gaillardetz, Patrice - In: Review of derivatives research 26 (2023) 2/3, pp. 171-206
Persistent link: https://www.econbiz.de/10014423872