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On bounding option prices in Paretian stable markets
Popova, Ivilina - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 32-43
Persistent link: https://www.econbiz.de/10001246678
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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
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Pricing complex barrier options under general diffusion processes
Tian, Yisong Sam - In: The journal of derivatives : the official publication … 7 (2000) 2, pp. 11-30
Persistent link: https://www.econbiz.de/10001497762
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Constructing binominal trees from multiple implied probability distributions
Brown, Gregory; Toft, Klaus Bjerre - In: The journal of derivatives : the official publication … 7 (2000) 2, pp. 83-100
Persistent link: https://www.econbiz.de/10001497772
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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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On the pricing of power and other polynomial options
Macovschi, Stefan; Quittard-Pinon, François - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 61-71
Persistent link: https://www.econbiz.de/10003346507
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Barrier option pricing using adjusted transition probabilities
Barone-Adesi, Giovanni; Fusari, Nicola; Theal, John - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 36-53
Persistent link: https://www.econbiz.de/10003795257
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Pricing Parisian options by generating functions
Li, Bing-qing; Zhao, Hai-jian - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 72-81
Persistent link: https://www.econbiz.de/10003862827
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Analytical valuation of barrier interest rate options under market models
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
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Barrier options on spot LIBOR rates under multi-factor Gaussian HJM model
Nunes, Joaõ Pedro Vidal - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 61-81
Persistent link: https://www.econbiz.de/10003379130