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Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Kao, Lie Jane - In: Review of derivatives research 19 (2016) 1, pp. 41-64
Persistent link: https://www.econbiz.de/10011742280
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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 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 call on art investments
Kräussl, Roman; Wiehenkamp, Christian - In: Review of derivatives research 15 (2012) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009627444
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The value of tradeability
Chesney, Marc; Kempf, Alexander - In: Review of derivatives research 15 (2012) 3, pp. 193-216
Persistent link: https://www.econbiz.de/10009709689
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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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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
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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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Valuing American-style options under the CEV model : an integral representation based method
Cruz, Aricson; Dias, José Carlos - In: Review of derivatives research 23 (2020) 1, pp. 63-83
Persistent link: https://www.econbiz.de/10012229783