Narrow search
Showing 1 - 10 of 15
Cover Image
Optimal volatility dependent derivatives in the stochastic volatility model
Dyachenko, Artem; Rieger, Marc Oliver - In: The journal of derivatives : JOD 28 (2021) 4, pp. 24-44
Persistent link: https://www.econbiz.de/10012612918
Cover Image
Bias correction for bond option greeks via jackknife
Zhang, Jinyu; Gao, Kang; Li, Yong - In: The journal of derivatives : JOD 28 (2021) 4, pp. 45-63
Persistent link: https://www.econbiz.de/10012612919
Cover Image
A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu; Kirkby, Justin; Nguyen, Duy; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 4, pp. 111-127
Persistent link: https://www.econbiz.de/10012612926
Cover Image
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
Cover Image
Pricing and hedging options on assets with options on related assets
Madan, Dilip B.; Wang, King - In: The journal of derivatives : JOD 29 (2021) 1, pp. 27-47
Persistent link: https://www.econbiz.de/10012612942
Cover Image
An arbitrage-free real-world model for fractional option prices
Fink, Holger Maria - In: The journal of derivatives : JOD 29 (2021) 1, pp. 95-121
Persistent link: https://www.econbiz.de/10012612945
Cover Image
Testing and mapping an empirical exercise boundary for the American put option
Pimbley, Joseph M. - In: The journal of derivatives : JOD 29 (2021) 1, pp. 139-147
Persistent link: https://www.econbiz.de/10012612947
Cover Image
Equity portfolio trading with volatility and dividend derivatives
Tunaru, Radu - In: The journal of derivatives : JOD 29 (2022) 3, pp. 46-64
Persistent link: https://www.econbiz.de/10013174821
Cover Image
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen; Elliott, Robert J. - In: The journal of derivatives : JOD 29 (2022) 3, pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Cover Image
Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 3, pp. 8-33
Persistent link: https://www.econbiz.de/10012486028