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Pricing American options in the Heston model : a close look at incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 9-29
Persistent link: https://www.econbiz.de/10009725351
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Implied correlations : smiles or smirks?
Agca, Senay; Agrawal, Deepak; Islam, Saiyid - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 7-35
Persistent link: https://www.econbiz.de/10003795256
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Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto, Gloria M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
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Modeling term structure of default correlation
Suchintabandid, Sira - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 26-36
Persistent link: https://www.econbiz.de/10011399738
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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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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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Pricing and hedging volatility derivatives
Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
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Displaced jump-diffusion option valuation
Câmara, António; Krehbiehl, Tim; Li, Weiping - In: The journal of derivatives : the official publication … 17 (2009/10) 2, pp. 41-58
Persistent link: https://www.econbiz.de/10003925808
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A forward shooting grid method for option pricing with stochastic volatility
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 67-78
Persistent link: https://www.econbiz.de/10009718105