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Pricing and hedging American options analytically : a perturbation method

Zhang, Jin E.; Li, Tiecheng - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 59-87

Persistent link: https://www.econbiz.de/10003955680

A lattice algorithm for pricing moving average barrier options

Dai, Min; Li, Peifan; Zhang, Jin E. - In: Journal of economic dynamics & control 34 (2010) 3, pp. 542-554

Persistent link: https://www.econbiz.de/10003966493

Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"

Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 36 (2012) 5, pp. 716-718

Persistent link: https://www.econbiz.de/10009554307

Consistent modeling of S&P 500 and VIX derivatives : a remark on Lin and Chang's paper

Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - In: Journal of economic dynamics & control 36 (2012) 5, pp. 708-715

Persistent link: https://www.econbiz.de/10009554315

A remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"

Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - 2011

Lin and Chang (2009, 2010) establish a VIX futures and option pricing theory when modeling S&P 500 index by using a stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not an exact solution of their pricing equation. More...