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Static hedging of chained-type barrier options
Jun, Doobae; Ku, Hyejin - In: The North American journal of economics and finance : a … 33 (2015), pp. 317-327
Persistent link: https://www.econbiz.de/10011535249
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Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian; Wang, Zi-Ling; Xiao, Wei-Lin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
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Valuing step barrier options and their icicled variations
Lee, Hangsuck; Ko, Bangwon; Song, Seongjoo - In: The North American journal of economics and finance : a … 49 (2019), pp. 396-411
Persistent link: https://www.econbiz.de/10012269361
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The forward smile in local-stochastic volatility models
Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
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Path-dependent American options
Chevalier, Etienne; Ly Vath, Vathana; Mnif, Mohamed - In: The journal of computational finance 23 (2019) 1, pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
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Path independence of exotic options and convergence of binomial approximations
Leduc, Guillaume; Palmer, Kenneth J. - In: The journal of computational finance 23 (2019) 2, pp. 73-102
Persistent link: https://www.econbiz.de/10012111264
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Compound option pricing under a double exponential Jump-diffusion model
Liu, Yu-hong; Jiang, I-Ming; Hsu, Wei-tze - In: The North American journal of economics and finance : a … 43 (2018), pp. 30-53
Persistent link: https://www.econbiz.de/10012036254
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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments
Lee, Hangsuck; Ahn, Soohan; Ko, Bangwon - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-13
Persistent link: https://www.econbiz.de/10012203169
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Reasonable evaluation of VIX options for the Taiwan stock index
Huang, Hung-Hsi; Lin, Shin-Hung; Wang, Chiu-Ping - In: The North American journal of economics and finance : a … 48 (2019), pp. 111-130
Persistent link: https://www.econbiz.de/10012120217