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Curve-fitting method for implied volatility
Wu, Desheng Dash; Liu, Tianxiang - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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Volatility surface calibration to illiquid options
Nagy, László; Ormos, Mihály - In: The journal of derivatives : the official publication … 26 (2019) 3, pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
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An efficient approach for pricing spread options
Pearson, Neil D. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 76-91
Persistent link: https://www.econbiz.de/10001219429
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How well can options complete markets?
Cassano, Mark A. - In: The journal of derivatives : the official publication … 9 (2001) 2, pp. 7-17
Persistent link: https://www.econbiz.de/10001634677
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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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Static hedging of timing risk
Carr, Peter; Picron, Jean-Francois - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 57-70
Persistent link: https://www.econbiz.de/10001432497
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Impact of net buying pressure on changes in implied volatility : before and after the onset of the subprime crisis
Shiu, Yung-ming; Pan, Ging-ginq; Lin, Shu-hui; Wu, Tu-cheng - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 54-66
Persistent link: https://www.econbiz.de/10003985513
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Valuation of perpetual strangles : a quasi-analytical approach
Chuang, Chienmin - In: The journal of derivatives : the official publication … 21 (2013) 1, pp. 64-72
Persistent link: https://www.econbiz.de/10010191934
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On perpetual American strangles
Moraux, Franck - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 82-97
Persistent link: https://www.econbiz.de/10003862829