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A novel method for arbitrage-free option surface construction
Orosi, Greg - In: Annals of financial economics 14 (2019) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10012226655
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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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GARCH option pricing and implied FX volatility indices
Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10013173960
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The volatility spillover effect between index options and their underlying markets : evidence from the US, the UK, and Taiwan
Chan, Chia-Ying; Peretti, Christian de; Wang, Ming-Chun; … - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 700-733
Persistent link: https://www.econbiz.de/10011779396
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Impact of exchange rate volatility on labour markets : a case of Transatlantic monetary policy coordination?
Belke, Ansgar; Kösters, Wim; Leschke, Martin; Polleit, … - In: Entscheidungsorientierte Volkswirtschaftslehre : …, (pp. 189-214). 2005
Persistent link: https://www.econbiz.de/10003345134
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The impact of exchange rate volatility on labor markets : Europe versus United States
Belke, Ansgar; Kaas, Leo - 2002
Persistent link: https://www.econbiz.de/10013401245
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Closed-form solutions for European and digital calls in the Hull and White stochastic volatility model and their relation to locally R-minimizing and Delta hedges
Ewald, Christian-Oliver (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003549952
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Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
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Non Parametric Calibration of the Local Volatility Surface for European Options Using a Second Order Tikhonov Regularization
Geng, Jian - 2013
We calibrate the local volatility surface for European options across all strikes and maturities of the same underlying …. There is no interpolation or extrapolation of either the option prices or the volatility surface. We do not make any … assumption regarding the shape of the volatility surface except to assume that it is smooth. Due to the smoothness assumption, we …
Persistent link: https://www.econbiz.de/10013087129
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Pricing European options under a diffusion model with psychological barriers and leverage effect
Song, Shiyu; Wang, Guanying; Wang, Yongjin - In: The European journal of finance 26 (2020) 12, pp. 1184-1206
Persistent link: https://www.econbiz.de/10012264954