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A technique for reducing discretization bias from Monte Carlo simulations : option pricing under stochastic interest rates
Lindset, Snorre; Lund, Arne-Christian - In: The European journal of finance 13 (2007) 5/6, pp. 545-564
Persistent link: https://www.econbiz.de/10003570611
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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Volatility surface calibration to illiquid options
Nagy, László; Ormos, Mihály - In: The journal of derivatives : the official publication … 26 (2019) 3, pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
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Pricing European options under a diffusion model with psychological barriers and leverage effect
Song, Shiyu; Wang, Guanying; Wang, Yongjin - In: The European journal of finance 26 (2020) 12, pp. 1184-1206
Persistent link: https://www.econbiz.de/10012264954
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Curve-fitting method for implied volatility
Wu, Desheng Dash; Liu, Tianxiang - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
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How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35
García-Machado, Juan J.; Rybczyński, Jarosław - In: The European journal of finance 23 (2017) 1/3, pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
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On perpetual American strangles
Moraux, Franck - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 82-97
Persistent link: https://www.econbiz.de/10003862829
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Calibration risk for exotic options
Detlefsen, K.; Härdle, Wolfgang - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 47-63
Persistent link: https://www.econbiz.de/10003498957
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Impact of net buying pressure on changes in implied volatility : before and after the onset of the subprime crisis
Shiu, Yung-ming; Pan, Ging-ginq; Lin, Shu-hui; Wu, Tu-cheng - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 54-66
Persistent link: https://www.econbiz.de/10003985513
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Derivative pricing 60 years before black-scholes : evidence from the Johannesburg Stock Exchange
Moore, Lyndon; Juh, Steve - In: The journal of finance : the journal of the American … 61 (2006) 6, pp. 3069-3098
Persistent link: https://www.econbiz.de/10003398551