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Review of derivatives research
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Commodity derivative valuation under a factor model with time-varying market prices of risk
García Mirantes, Andrés
;
Población, Javier
;
Serna, …
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10011414114
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2
Time consistent pricing of options with embedded decisions
Dorfleitner, Gregor
;
Gerer, Johannes
- In:
Review of derivatives research
23
(
2020
)
1
,
pp. 85-119
Persistent link: https://www.econbiz.de/10012229784
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3
A four-factor stochastic volatility model of commodity prices
Schöne, Max F.
;
Spinler, Stefan
- In:
Review of derivatives research
20
(
2017
)
2
,
pp. 135-165
Persistent link: https://www.econbiz.de/10011935975
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4
The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo
- In:
Review of derivatives research
11
(
2008
)
3
,
pp. 205-244
Persistent link: https://www.econbiz.de/10003835031
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5
Option market making under inventory risk
Stoikov, Sasha
;
Sağlam, Mehmet
- In:
Review of derivatives research
12
(
2009
)
1
,
pp. 55-79
Persistent link: https://www.econbiz.de/10003851739
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6
Auto-static for the people : risk-minimizing hedges of barrier options
Siven, Johannes
;
Poulsen, Rolf
- In:
Review of derivatives research
12
(
2009
)
3
,
pp. 193-211
Persistent link: https://www.econbiz.de/10003882897
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7
Price discovery in the US stock and stock options markets : a portfolio approach
Holowczak, Richard
;
Simaan, Yusif E.
;
Wu, Liuren
- In:
Review of derivatives research
9
(
2006
)
1
,
pp. 37-65
Persistent link: https://www.econbiz.de/10003441188
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8
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/10008695493
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9
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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10
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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