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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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Robust and nearly exact option pricing with bilateral gamma processes
Aguilar, Jean-Philippe; Kirkby, Justin - In: The journal of derivatives : JOD 30 (2022) 1, pp. 8-31
Persistent link: https://www.econbiz.de/10014231087
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A model-free fourier cosine method for estimating the risk-neutral density
Cui, Zhenyu; Yu, Zixiao - In: The journal of derivatives : JOD 29 (2021) 2, pp. 149-171
Persistent link: https://www.econbiz.de/10012698129
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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