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Stochastic covariance and dimension reduction in the pricing of basket options
Escobar, Marcos; Krause, Daniel; Zagst, Rudi - In: Review of derivatives research 19 (2016) 3, pp. 165-200
Persistent link: https://www.econbiz.de/10011927967
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - In: Review of derivatives research 22 (2019) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
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The value of power-related options under spectrally negative Lévy processes
Aguilar, Jean-Philippe - In: Review of derivatives research 24 (2021) 2, pp. 173-196
Persistent link: https://www.econbiz.de/10012549113
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Delta-hedging correlation risk?
Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56
Persistent link: https://www.econbiz.de/10009627434
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Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
Vitiello, Luiz; Poon, Ser-Huang - In: Review of derivatives research 17 (2014) 2, pp. 241-259
Persistent link: https://www.econbiz.de/10010529622
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Testing the martingale restriction for option implied densities
Busch, Thomas - In: Review of derivatives research 11 (2008) 1/2, pp. 61-81
Persistent link: https://www.econbiz.de/10003829557
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A note on the pricing of multivariate contingent claims under a transformed-gamma distribution
Vitiello, Luiz; Rebelo, Ivonia - In: Review of derivatives research 18 (2015) 3, pp. 291-300
Persistent link: https://www.econbiz.de/10011477304
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The pricing of Bermudan-style options on correlated assets
Peterson, Sandra J.; Stapleton, Richard C. - In: Review of derivatives research 5 (2002) 2, pp. 127-151
Persistent link: https://www.econbiz.de/10001722137
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Option bounds and the pricing of the volatility smile
Masson, Jean; Perrakis, Stylianos - In: Review of derivatives research 4 (2000) 1, pp. 29-53
Persistent link: https://www.econbiz.de/10001521985