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Pricing discrete barrier options with an adaptive mesh model
Ahn, Dong-Hyun; Figlewski, Stephen; Gao, Bin - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 33-43
Persistent link: https://www.econbiz.de/10001432450
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The adaptive mesh model : a new approach to efficient option pricing
Figlewski, Stephen; Gao, Bin - In: Journal of financial economics 53 (1999) 3, pp. 313-351
Persistent link: https://www.econbiz.de/10001394622
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Forecasting volatility
Figlewski, Stephen - In: Financial markets, institutions & instruments 6 (1997) 1
Persistent link: https://www.econbiz.de/10001217426
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An American call is worth more than a European call : the value of American exercise when the market is not perfectly liquid
Figlewski, Stephen - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 3, pp. 1023-1057
Persistent link: https://www.econbiz.de/10013187327
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The valuation of American barrier options using the decomposition technique
Gao, Bin; Huang, Jing-Zhi; Subrahmanyam, Marti G. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1783-1827
Persistent link: https://www.econbiz.de/10001508774
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Option pricing model with sentiment
Yang, Chunpeng; Gao, Bin; Yang, Jianlei - In: Review of derivatives research 19 (2016) 2, pp. 147-164
Persistent link: https://www.econbiz.de/10011927963
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Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008
Birru, Justin; Figlewski, Stephen - In: Journal of financial markets 15 (2012) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10009614494
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Modeling the dynamics of correlations among implied volatilities
Engle, Robert F.; Figlewski, Stephen - In: Review of finance : journal of the European Finance … 19 (2015) 3, pp. 991-1018
Persistent link: https://www.econbiz.de/10011405161
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Market risk and model risk for a financial institution writing options
Figlewski, Stephen; Green, Tracy Clifton - 1998
Persistent link: https://www.econbiz.de/10001352796
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Market risk and model risk for a financial institution writing options
Green, Tracy Clifton; Figlewski, Stephen - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1465-1499
Persistent link: https://www.econbiz.de/10001395780