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Improved implementation of local volatility and its application to S&P 500 Index options
Orosi, Greg - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 53-64
Persistent link: https://www.econbiz.de/10003961021
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A multi-parameter extension of Figlewski’s option-pricing formula
Orosi, Greg - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 72-82
Persistent link: https://www.econbiz.de/10009316794