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Pricing double barrier options under a volatility regime-switching model with psychological barriers
Song, Shiyu; Wang, Yongjin - In: Review of derivatives research 20 (2017) 3, pp. 255-280
Persistent link: https://www.econbiz.de/10011936003
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Continuity correction : on the pricing of discrete double barrier options
Luo, Sheng-Feng; Wong, Hsin-Chieh - In: Review of derivatives research 26 (2023) 1, pp. 51-90
Persistent link: https://www.econbiz.de/10014266376
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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
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
Chan, Tat Lung; Hubbert, Simon - In: Review of derivatives research 17 (2014) 2, pp. 161-189
Persistent link: https://www.econbiz.de/10010529637
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The performance of model based option trading strategies
Eraker, Bjørn - In: Review of derivatives research 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009729949
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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
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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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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 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