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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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Going European from American : does style matter?
Pathak, Rajesh; Kumar, Satish; Ranajee, Ranajee - In: Managerial finance 43 (2017) 4, pp. 471-487
Persistent link: https://www.econbiz.de/10011704567
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Underlying assets distribution in derivatives : the BRIC case
Núñez, José A.; Contreras-Valdez, Mario I.; … - In: Theoretical economics letters 8 (2018) 3, pp. 502-513
Persistent link: https://www.econbiz.de/10011822832
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
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Testing Greeks and price changes in the S&P 500 options and futures contract : a regression analysis
Hilliard, Jitka - In: International review of financial analysis 26 (2013), pp. 51-58
Persistent link: https://www.econbiz.de/10009717219
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Are we using the wrong letters? : an analysis of executive stock option Greeks
Álvarez-Díez, Susanna; Baixauli-Soler, J. Samuel; … - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 237-262
Persistent link: https://www.econbiz.de/10010356934
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Short-term options : clienteles, market segmentation, and event trading
Chatrath, Arjun; Christie-David, Rohan; Miao, Hong; … - In: Journal of banking & finance 61 (2015), pp. 237-250
Persistent link: https://www.econbiz.de/10011545291
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An analysis of the covered warrants listed on the Athens Exchange
Siriopoulos, Costas; Fassas, Athanasios P. - In: Journal of risk & control 1 (2014) 1, pp. 13-30
Persistent link: https://www.econbiz.de/10010509213
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First and Second Order Greeks in the Heston Model
Chan, Jiun Hong - 2014
In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model using the algorithmic differentiation approach. Issues related to the applicability of the pathwise method are discussed in this paper as most existing numerical...
Persistent link: https://www.econbiz.de/10013068956
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A Note about SABR Greeks
DY, Oudom - 2017
There are several kind of models for the generation of a volatility surface, one which is especially popular for the … volatility. We derive analytical formulae for components which arise in SABR greeks, for the Hagan and Bartlett versions, for the …
Persistent link: https://www.econbiz.de/10012951470