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Review of derivatives research
International journal of theoretical and applied finance
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1
The [beta]-variance gamma model
Schoutens, Wim
;
Van Damme, Geert
- In:
Review of derivatives research
14
(
2011
)
3
,
pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
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2
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Chen, Jie
;
Fan, Liaoyuan
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 189-232
Persistent link: https://www.econbiz.de/10013457614
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3
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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4
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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5
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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6
Implied volatility and skewness surface
Feunou, Bruno
;
Fontaine, Jean-Sébastien
;
Tédongap, Roméo
- In:
Review of derivatives research
20
(
2017
)
2
,
pp. 167-202
Persistent link: https://www.econbiz.de/10011935979
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7
Jump-diffusion processes : volatility smile fitting and numerical methods for option pricing
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
- In:
Review of derivatives research
4
(
2000
)
3
,
pp. 231-262
Persistent link: https://www.econbiz.de/10001596719
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8
The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo
- In:
Review of derivatives research
11
(
2008
)
3
,
pp. 205-244
Persistent link: https://www.econbiz.de/10003835031
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9
Price discovery in the US stock and stock options markets : a portfolio approach
Holowczak, Richard
;
Simaan, Yusif E.
;
Wu, Liuren
- In:
Review of derivatives research
9
(
2006
)
1
,
pp. 37-65
Persistent link: https://www.econbiz.de/10003441188
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10
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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