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Pricing forward skew dependent derivatives : multifactor versus single-factor stochastic volatility models
Marabel Romo, Jacinto - In: The journal of futures markets 34 (2014) 2, pp. 124-144
Persistent link: https://www.econbiz.de/10010255495
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Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal; Herold, Michael; Muck, Matthias - In: The journal of futures markets 43 (2023) 12, pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
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Pricing VXX options by modeling VIX directly
Lin, Wei; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 5, pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
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Approximate pricing of American exchange options with jumps
Lian, Guanghua; Elliott, Robert J.; Kalev, Petko S.; … - In: The journal of futures markets 42 (2022) 6, pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
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Power-type derivatives for rough volatility with jumps
Wang, Liang; Xia, Weixuan - In: The journal of futures markets 42 (2022) 7, pp. 1369-1406
Persistent link: https://www.econbiz.de/10013287974
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
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Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 7, pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
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A model-free approximation for barrier options in a general stochastic volatility framework
Rolloos, Frido; Shiraya, Kenichiro - In: The journal of futures markets 44 (2024) 6, pp. 923-935
Persistent link: https://www.econbiz.de/10014536706
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Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
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Comment: "On approximating deep in-the-money Asian options under exponential Lévy Processes"
Sun, Xianming; Haesen, Dorien; Vanmaele, Michèle - In: The journal of futures markets 35 (2015) 12, pp. 1220-1221
Persistent link: https://www.econbiz.de/10011546256