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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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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 kernel puzzle in forward looking data
Cuesdeanu, Horatio; Jackwerth, Jens Carsten - In: Review of derivatives research 21 (2018) 3, pp. 253-276
Persistent link: https://www.econbiz.de/10012055741
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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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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
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A model-free approach to multivariate option pricing
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven - In: Review of derivatives research 24 (2021) 2, pp. 135-155
Persistent link: https://www.econbiz.de/10012549100
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Conditional risk-neutral density from option prices by local polynomial Kernel smoothing with no-arbitrage constraints
Monteiro, Ana M.; Santos, Antonio A. F. - In: Review of derivatives research 23 (2020) 1, pp. 41-61
Persistent link: https://www.econbiz.de/10012229782
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Option-implied information : what’s the vol surface got to do with it?
Ulrich, Maxim; Walther, Simon - In: Review of derivatives research 23 (2020) 3, pp. 323-355
Persistent link: https://www.econbiz.de/10012303253
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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