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Calibrating and pricing with a stochastic-local volatility model
Tian, Yu; Zhu, Zili; Lee, Geoffrey; Klebaner, Fima C.; … - In: The journal of derivatives : the official publication … 22 (2015) 3, pp. 21-39
Persistent link: https://www.econbiz.de/10011399673
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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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A new approach for computing option prices of the Hull-White type with stepwise reversion and volatility finctions
Jin, Hui; Gotoh, Jun-ya; Sumita, Ushio - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 67-85
Persistent link: https://www.econbiz.de/10003611518
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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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Improved implementation of local volatility and its application to S&P 500 Index options
Orosi, Greg - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 53-64
Persistent link: https://www.econbiz.de/10003961021
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What does implied volatility skew measure?
Mixon, Scott - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 9-25
Persistent link: https://www.econbiz.de/10009229670
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A GARCH parameterization of the volatility surface
Mazzoni, Thomas - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 9-24
Persistent link: https://www.econbiz.de/10011399795
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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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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