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Pricing and hedging index options under stochastic volatility : an empirical examiniation
Nandi, Saikat - 1996
Persistent link: https://www.econbiz.de/10000958009
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Valuation models for default-risky securities : an overview
Nandi, Saikat - In: Economic review 83 (1998) 4, pp. 22-35
Persistent link: https://www.econbiz.de/10001352539
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Asymmetric information about volatility : how does it affect implied volatility, option prices and market liquidity?
Nandi, Saikat - In: Review of derivatives research 3 (1999) 3, pp. 215-236
Persistent link: https://www.econbiz.de/10001493258
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How important is the correlation between returns and volatility in a stochastic volatility model? : Empirical evidence from pricing and hedging in the S&P 500 index options market
Nandi, Saikat - In: Journal of banking & finance 22 (1998) 5, pp. 589-610
Persistent link: https://www.econbiz.de/10001243308
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Structural default modeling : a lattice-based approach
Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 44-53
Persistent link: https://www.econbiz.de/10003985509
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Multinominal lattices and derivatives pricing
Jabbour, George M.; Kramin, Marat V.; Kramin, Timur V.; … - In: Advances in quantitative analysis of finance and … 2 (2005), pp. 1-15
Persistent link: https://www.econbiz.de/10003103130
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Options and volatility
Abken, Peter A. - In: Economic review 81 (1996) 3, pp. 21-35
Persistent link: https://www.econbiz.de/10001210853
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Issues in hedging options positions
Nandi, Saikat; Waggoner, Daniel F. - In: Economic review 85 (2000) 1, pp. 24-39
Persistent link: https://www.econbiz.de/10001494845
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A discrete-time two-factor model for pricing bonds and interest rate derivatives under Random volatility
Heston, Steven L.; Nandi, Saikat - 1999
Persistent link: https://www.econbiz.de/10001444589
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Derivatives on volatility : some simple solutions based on observables
Heston, Steven L.; Nandi, Saikat - 2000
Persistent link: https://www.econbiz.de/10001537175