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Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Frey, Rüdiger; Stremme, Alexander - 1993
Persistent link: https://www.econbiz.de/10000412479
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Option hedging using empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000643460
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Discrete time hedging of OTC options in a GARCH environment : a simulation experiment
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000959376
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An analysis of the predictive ability of the Black-Scholes option pricing model in the Netherlands
Hand, Megan - 1994
Persistent link: https://www.econbiz.de/10000959539
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Derivative asset analysis in models with level-dependent and stochastic volatility
Frey, Rüdiger - 1997
Persistent link: https://www.econbiz.de/10000959999
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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On black-scholes implied volatility at extreme strikes
Benaim, Shalom; Friz, Peter; Lee, Roger - In: Frontiers in quantitative finance : volatility and …, (pp. 19-45). 2009
Persistent link: https://www.econbiz.de/10003787593
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Dynamic, nonparametric hedging of European style contigent claims using canonical valuation
Alcock, Jamie; Gray, Philip K. - In: Finance research letters 2 (2005) 1, pp. 41-50
Persistent link: https://www.econbiz.de/10002685784
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FX options and smile risk
Castagna, Antonio - 2010
Persistent link: https://www.econbiz.de/10003849324
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Alternative formulas to compute implied standard deviation
Ang, James S.; Jou, Gwoduan David; Lai, Tsong-yue - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 159-176
Persistent link: https://www.econbiz.de/10003871567