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Pricing European Asian options with skewness and kurtosis in the underlying distribution
Lo, Keng-hsin; Wang, Kehluh; Hsu, Ming-feng - In: The journal of futures markets 28 (2008) 6, pp. 598-616
Persistent link: https://www.econbiz.de/10003715035
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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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Pricing credit spread options under a Markov chain model with stochastic default rate
Kang, Jangkoo; Kim, Hwa-sung - In: The journal of futures markets 24 (2004) 7, pp. 631-648
Persistent link: https://www.econbiz.de/10002108793
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Improving lattice schemes through bias reduction
Denault, Michel; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of futures markets 26 (2006) 8, pp. 733-757
Persistent link: https://www.econbiz.de/10003353575
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Option pricing for the transformed-binomial class
Câmara, António; Chung, San-Lin - In: The journal of futures markets 26 (2006) 8, pp. 759-787
Persistent link: https://www.econbiz.de/10003353584
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Multifactor implied volatility functions for HJM models
Kuo, I.-doun; Paxson, Dean A. - In: The journal of futures markets 26 (2006) 8, pp. 809-833
Persistent link: https://www.econbiz.de/10003353665
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A non-lattice pricing model of American options under stochastic volatility
Zhang, Zhe; Lim, Kian-Guan - In: The journal of futures markets 26 (2006) 5, pp. 417-448
Persistent link: https://www.econbiz.de/10003309332
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Static hedging and model risk for barrier options
Nalholm, Morten; Poulsen, Rolf - In: The journal of futures markets 26 (2006) 5, pp. 449-463
Persistent link: https://www.econbiz.de/10003309338
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An expanded model for the valuation of employee stock options
Liao, Feng-yu; Lyuu, Yuh-dauh - In: The journal of futures markets 29 (2009) 8, pp. 713-735
Persistent link: https://www.econbiz.de/10003899232
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Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul; Dowd, Kevin; Cairns, Andrew; Blake, David - In: The journal of futures markets 29 (2009) 8, pp. 757-774
Persistent link: https://www.econbiz.de/10003900592