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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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Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Torricelli, Lorenzo - In: Review of derivatives research 19 (2016) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10011742279
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A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo; Correira-da-Silva, João - In: Review of derivatives research 17 (2014) 2, pp. 125-159
Persistent link: https://www.econbiz.de/10010529639
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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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A copula-based approach for generating lattices
Wang, Tianyang; Dyer, James S.; Hahn, Warren J. - In: Review of derivatives research 18 (2015) 3, pp. 263-289
Persistent link: https://www.econbiz.de/10011477303
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A recombining lattice option pricing model that relaxes the assumption of lognormality
Ji, Dasheng; Brorsen, B. Wade - In: Review of derivatives research 14 (2011) 3, pp. 349-367
Persistent link: https://www.econbiz.de/10009349984
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A bias in the volatility smile
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
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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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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Li, Minqiang - In: Review of derivatives research 13 (2010) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10008695491
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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