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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
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The valuation and information content of options on crude-oil futures contracts
Murphy, Finbarr; Ronn, Ehud I. - In: Review of derivatives research 18 (2015) 2, pp. 95-106
Persistent link: https://www.econbiz.de/10011477287
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Kao, Lie-Jane - In: Review of derivatives research 19 (2016) 1, pp. 41-64
Persistent link: https://www.econbiz.de/10011742280
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Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Romo, Jacinto Marabel - In: Review of derivatives research 19 (2016) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10011742281
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Option pricing model with sentiment
Yang, Chunpeng; Gao, Bin; Yang, Jianlei - In: Review of derivatives research 19 (2016) 2, pp. 147-164
Persistent link: https://www.econbiz.de/10011927963
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On the multiplicity of option prices under CEV with positive elasticity of variance
Veestraeten, Dirk - In: Review of derivatives research 20 (2017) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10011928028
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Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
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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
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Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671