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Volatility
Option pricing theory
13
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Volatilität
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Nguyen, Duy
10
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7
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6
Puri, Tribhuvan N.
2
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1
Jiang, J. X.
1
Kirkby, Justin
1
Lian, Guanghua
1
Liu, Rui Hua
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Lo, C. C.
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European journal of operational research : EJOR
2
International journal of theoretical and applied finance
2
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1
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1
Finance research letters
1
Insurance / Mathematics & economics
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International journal of financial engineering
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ECONIS (ZBW)
13
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1
An empirical study on expiration day effects in stock index futures in Indian stock market
Debasish, Sathya Swaroop
;
Puri, Tribhuvan N.
- In:
The international journal of finance
22
(
2010
)
3
,
pp. 6544-6560
Persistent link: https://www.econbiz.de/10009378845
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2
Asymmetric volume-return relation and concentrated trading in LIFFE futures
Puri, Tribhuvan N.
;
Philippatos, George C.
- In:
European financial management : the journal of the …
14
(
2008
)
3
,
pp. 528-563
Persistent link: https://www.econbiz.de/10003724998
Saved in:
3
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.
;
Liu, Rui Hua
;
Nguyen, D.
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
Saved in:
4
A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu
;
Kirkby, Justin
;
Nguyen, Duy
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
4
,
pp. 111-127
Persistent link: https://www.econbiz.de/10012612926
Saved in:
5
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
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6
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
7
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
8
An integral representation of elasticity and sensitivity for stochastic volatility models
Cui, Zhenyu
;
Nguyen, Duy
;
Park, Hyungbin
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 249-274
Persistent link: https://www.econbiz.de/10011963852
Saved in:
9
A unified tree approach for options pricing under stochastic volatility models
Lo, C. C.
;
Nguyen, Duy
;
Skindilias, K.
- In:
Finance research letters
20
(
2017
),
pp. 260-268
Persistent link: https://www.econbiz.de/10011806944
Saved in:
10
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
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