Narrow search
Showing 1 - 10 of 287
Cover Image
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
Cover Image
Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
Cover Image
A new model for pricing collateralized financial derivatives
Xiao, Tim - In: The journal of derivatives : the official publication … 24 (2017) 4, pp. 8-20
Persistent link: https://www.econbiz.de/10011687345
Cover Image
The second partial derivative of option price with respect to the strike : a historical reminiscence
Zimmermann, Heinz - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 81-87
Persistent link: https://www.econbiz.de/10011941351
Cover Image
Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che; Lin, Shih-kuei; Chiang, Mi-Hsiu - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
Cover Image
Importance sampling in the Health-Jarrow-Morton framework
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 32-50
Persistent link: https://www.econbiz.de/10001432466
Cover Image
The bino-trinomial tree : a simple model for efficient and accurate option pricing
Dai, Tian-shyr; Lyuu, Yuh-dauh - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 7-24
Persistent link: https://www.econbiz.de/10003985505
Cover Image
A multi-parameter extension of Figlewski’s option-pricing formula
Orosi, Greg - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 72-82
Persistent link: https://www.econbiz.de/10009316794
Cover Image
Counterparty credit risk and American options
Klein, Peter; Yang, Jun - In: The journal of derivatives : the official publication … 20 (2013) 4, pp. 7-21
Persistent link: https://www.econbiz.de/10009760552
Cover Image
Pricing contingent convertibles : a derivatives approach
De Spiegeleer, Jan; Schoutens, Wim - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 27-36
Persistent link: https://www.econbiz.de/10009718109