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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
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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
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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
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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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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
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Evergreen trees : the likelihood ratio method for binomial and trinomial trees
Davis, Tom P. - In: The journal of derivatives : JOD 29 (2021) 1, pp. 49-69
Persistent link: https://www.econbiz.de/10012612943
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Price discovery in a new futures market : Micro E-mini index futures
Fassas, Athanasios P. - In: The journal of derivatives : JOD 29 (2021) 1, pp. 70-94
Persistent link: https://www.econbiz.de/10012612944
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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
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A derivatives pricing model with non-cash collateralization
Takino, Kazuhiro - In: The journal of derivatives : JOD 29 (2021) 1, pp. 123-138
Persistent link: https://www.econbiz.de/10012612946
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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