Narrow search
Showing 1 - 10 of 195
Cover Image
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
Cover Image
Adaptive placement method on pricing arithmetic average options
Dai, Tian-shyr; Wang, Jr-yan; Wei, Hui-shan - In: Review of derivatives research 11 (2008) 1/2, pp. 83-118
Persistent link: https://www.econbiz.de/10003829559
Cover Image
Efficient option replication in the presence of transactions costs
Martellini, Lionel - In: Review of derivatives research 4 (2000) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10001566793
Cover Image
A note on options and bubbles under the CEV model : implications for pricing and hedging
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272
Persistent link: https://www.econbiz.de/10012303226
Cover Image
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
Gerer, Johannes; Dorfleitner, Gregor - In: Review of derivatives research 21 (2018) 2, pp. 175-199
Persistent link: https://www.econbiz.de/10012055737
Cover Image
Hedging cryptocurrency options
Matic, Jovanka Lili; Packham, Natalie; Härdle, Wolfgang - In: Review of derivatives research 26 (2023) 1, pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Valuation of vulnerable American options with correlated credit risk
Chang, Lung-fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-165
Persistent link: https://www.econbiz.de/10003608132