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The premium reduction of European, American, and perpetual log return options
Taylor, Stephen; Večeř, Jan - In: The journal of derivatives : JOD 28 (2021) 4, pp. 7-23
Persistent link: https://www.econbiz.de/10012612917
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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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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