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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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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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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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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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On pricing Asian options under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
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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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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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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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The forward valuation of compound options
Buraschi, Andrea; Dumas, Bernard - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 8-17
Persistent link: https://www.econbiz.de/10001618892
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Estimating option-implied risk-neutral densities : a novel parametric approach
Orosi, Greg - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 41-61
Persistent link: https://www.econbiz.de/10011399802