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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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A verification model to capture option risk and hedging based on a modified underlying beta
Shen, Chuan-He; Liu, Yang - In: The journal of risk model validation 15 (2021) 1, pp. 49-68
Persistent link: https://www.econbiz.de/10014540158
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Models of option pricing
Shao, Jia; Joseph, Nathan Lael; El-Masry, Ahmed A. - 2024
Persistent link: https://www.econbiz.de/10015045544
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Trading VIX derivatives : trading and hedging strategies using VIX futures, options, and exchange-traded notes
Rhoads, Russell - 2011
"Trading VIX Derivatives will be a comprehensive book covering all aspects of the Chicago Board Options Exchange stock market volatility index. The book will explain the mechanics and strategies associated with trading VIX options, futures, exchange trading notes and options on exchange traded...
Persistent link: https://www.econbiz.de/10009311046
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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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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
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Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
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On calendar energy options
Li, Lide; Kleindorfer, Paul R. - In: Risk and decision analysis 4 (2013) 4, pp. 225-233
Persistent link: https://www.econbiz.de/10010475802
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An analysis of the covered warrants listed on the Athens Exchange
Siriopoulos, Costas; Fassas, Athanasios P. - In: Journal of risk & control 1 (2014) 1, pp. 13-30
Persistent link: https://www.econbiz.de/10010509213