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Stochastischer Prozess
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Rady, Sven
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Schlag, Christian
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Chib, Siddhartha
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Kallsen, Jan
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International journal of theoretical and applied finance
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European journal of operational research : EJOR
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Insurance / Mathematics & economics
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Quantitative finance
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Finance and stochastics
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Applied mathematical finance
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Mathematics of operations research
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Asia-Pacific financial markets
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Econometric reviews
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Economic theory : official journal of the Society for the Advancement of Economic Theory
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IMA journal of management mathematics
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Modeling ultra-high-frequency data : the S&P 500 index future
Minozzo, Marco
;
Centanni, Silvia
- In:
Mathematical and statistical methods in insurance and …
,
(pp. 165-172)
.
2008
Persistent link: https://www.econbiz.de/10003838556
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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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Pricing commodity index options
Manzano-Herrero, Alberto Pedro
;
Nastasi, Emanuele
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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Hedging
strategy comparisons of volatility index options using diffusion models
Lin, Jun-Biao
- In:
The international journal of business and finance …
9
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2015
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3
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pp. 59-69
Persistent link: https://www.econbiz.de/10011285427
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Static
hedging
of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Zum Glattstellen von Index-Futures : Empirie und stochastische Modelle unter besonderer Berücksichtigung des DAX-Futures
Dorfleitner, Gregor
-
1999
Persistent link: https://www.econbiz.de/10001364401
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Using VIX futures to hedge forward implied volatility risk
Lin, Yueh-neng
;
Lin, Anchor Y.
- In:
International review of economics & finance : IREF
43
(
2016
),
pp. 88-106
Persistent link: https://www.econbiz.de/10011625539
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Risk arbitrage opportunities for stock index options
Post, Thierry
;
Rodríguez Longarela, Iñaki
- In:
Operations research
69
(
2021
)
1
,
pp. 100-113
Persistent link: https://www.econbiz.de/10012523428
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.
;
Osakwe, Carlton-James U.
- In:
Finance and stochastics
10
(
2006
)
2
,
pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
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A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
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