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Volatility cones and their sampling properties
Hodges, Stewart D.; Tompkins, Robert G. - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 27-42
Persistent link: https://www.econbiz.de/10001718685
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
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The normal inverse gaussian distribution and the pricing of derivatives
Eriksson, Anders; Ghysels, Eric; Wang, Fangfang - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 23-37
Persistent link: https://www.econbiz.de/10003852619
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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On the relative pricing of long-maturity index options and collateralized debt obligations
Collin-Dufresne, Pierre; Goldstein, Robert S.; Yang, Fan - In: The journal of finance : the journal of the American … 67 (2012) 6, pp. 1983-2014
Persistent link: https://www.econbiz.de/10009716214
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Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
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A guide to FX options quoting conventions
Reiswich, Dimitri; Wystup, Uwe - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 58-68
Persistent link: https://www.econbiz.de/10008771850
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
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Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.; Welke, Gerd M. - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 29-47
Persistent link: https://www.econbiz.de/10003733222