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Non-affine option pricing
Chourdakis, Kyriakos - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 10-25
Persistent link: https://www.econbiz.de/10002007114
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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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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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Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
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A comparison of Markov-functional and market models : the one-dimensional case
Bennett, Michael N.; Kennedy, Joanne E. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 22-43
Persistent link: https://www.econbiz.de/10003299540
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A Markov chain model with stochastic default rate for valuation of credit spreads
Kodera, Eiji - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 8-18
Persistent link: https://www.econbiz.de/10001613575
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Pricing discretely monitored barrier options by a Markov chain
Duan, Jin-Chuan; Dudley, Evan; Gauthier, Geneviève; … - In: The journal of derivatives : the official publication … 10 (2003) 4, pp. 9-31
Persistent link: https://www.econbiz.de/10001781756
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A Markov chain model for valuing credit risk derivatives
Kijima, Masaaki - In: The journal of derivatives : the official publication … 6 (1998) 1, pp. 97-108
Persistent link: https://www.econbiz.de/10001248808
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Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
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Fast analytic option valuation with GARCH
Mazzoni, Thomas - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 18-38
Persistent link: https://www.econbiz.de/10008655530