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Pricing commodity swaptions in multifactor models
Larsson, Karl - In: The journal of derivatives : the official publication … 19 (2011) 2, pp. 32-44
Persistent link: https://www.econbiz.de/10009413614
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Dynamic jump intensities and risk premiums in crude oil futures and options markets
Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 8-30
Persistent link: https://www.econbiz.de/10011687332
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Return and risk of CBOE buy write monthly index
Whaley, Robert E. - In: The journal of derivatives : the official publication … 10 (2002) 2, pp. 35-42
Persistent link: https://www.econbiz.de/10001745231
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Correlation, smile, volatility skew, and systematic risk sensitivity of tranches
Hamerle, Alfred; Igl, Andreas; Plank, Kilian - In: The journal of derivatives : the official publication … 19 (2012) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10009671109
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Covered call writing from an exptected utility perspective
Rendleman, Richard J. - In: The journal of derivatives : the official publication … 8 (2001) 3, pp. 63-75
Persistent link: https://www.econbiz.de/10001581201
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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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An alternative option to portfolio rebalancing
Israelov, Roni; Tummala, Harsha - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 7-32
Persistent link: https://www.econbiz.de/10011941325
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Variance risk premia in energy commodities
Trolle, Anders B.; Schwartz, Eduardo S. - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 15-32
Persistent link: https://www.econbiz.de/10003961013
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Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation
Benth, Fred Espen; Koekebakker, Steen; Ollmar, Fridthjof - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 52-66
Persistent link: https://www.econbiz.de/10003611427
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Locally capped investment products and the retail investor
Bernard, Carole; Boyle, Phelim P.; Gornall, William - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 72-88
Persistent link: https://www.econbiz.de/10009229660