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Vol, skew, and smile trading
Al-Jaaf, Aşty; Carr, Peter - In: The journal of derivatives : JOD 31 (2023) 1, pp. 64-95
Persistent link: https://www.econbiz.de/10014422386
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Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter; Itkin, Andrey - In: The journal of derivatives : JOD 29 (2021) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
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Semi-analytical pricing of barrier options in the time-dependent Heston model
Carr, Peter; Itkin, Andrey; Muravey, Dmitry - In: The journal of derivatives : JOD 30 (2022) 2, pp. 141-171
Persistent link: https://www.econbiz.de/10014231115