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On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
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Risk-management Bermudan swaptions in a LIBOR model
Pietersz, Raoul; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 51-62
Persistent link: https://www.econbiz.de/10002007139
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A guide to volatility and variance swaps
Demeterfi, Kresimir (contributor) - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 9-32
Persistent link: https://www.econbiz.de/10001432447
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New approach to estimating VIX truncation errors using corridor variance swaps
Wu, Desheng Dash; Liu, Tianxiang - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 54-70
Persistent link: https://www.econbiz.de/10011968667