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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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Risk management decisions and value under uncertainty
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1
Forecasting with option-implied information
Christoffersen, Peter F.
;
Jacobs, Kris
;
Chang, Bo Young
-
2013
Persistent link: https://www.econbiz.de/10011507021
Saved in:
2
Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu
;
Lee, Cheng F.
- In:
Portfolio construction, measurement, and efficiency : …
,
(pp. 355-387)
.
2017
Persistent link: https://www.econbiz.de/10011603288
Saved in:
3
Pricing an American call under stochastic
volatility
and interest rates
Kang, Boda
;
Meyer, Gunter H.
- In:
Nonlinear economic dynamics and financial modelling : …
,
(pp. 291-314)
.
2014
Persistent link: https://www.econbiz.de/10011286580
Saved in:
4
Option pricing in affine generalized Merton models
Bayer, Christian
;
Schoenmakers, John
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 219-239)
.
2016
Persistent link: https://www.econbiz.de/10011800363
Saved in:
5
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 477-496)
.
2016
Persistent link: https://www.econbiz.de/10011800392
Saved in:
6
VIX computation based on affine stochastic
volatility
models in discrete time
Hitaj, A.
;
Mercuri, L.
;
Rroji, E.
- In:
Handbook of recent advances in commodity and financial …
,
(pp. 141-164)
.
2018
Persistent link: https://www.econbiz.de/10011898628
Saved in:
7
Index option market activity and cash market
volatility
under different market conditions : an empirical study from Sweden
Hagelin, Niclas
- In:
Empirical essays on financial markets, firms, and derivates
,
(pp. 11-41)
.
2000
Persistent link: https://www.econbiz.de/10001509964
Saved in:
8
Exotic derivatives under stochastic
volatility
models with jumps
Mijatovi´c, Aleksandar
;
Pistorius, Martijn
- In:
Advanced mathematical methods for finance
,
(pp. 455-508)
.
2011
Persistent link: https://www.econbiz.de/10008991275
Saved in:
9
The 2008 UK banking crash : evidence from option implied
volatility
So, Ha Yan Raymond
;
Driouchi, Tarik
;
Tan, Zhiyuan Simon
- In:
Advances in financial risk management : corporates, …
,
(pp. 201-224)
.
2013
Persistent link: https://www.econbiz.de/10010213083
Saved in:
10
Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied
volatility
Brigo, Damiano
- In:
Options - 45 years since the publication of the …
,
(pp. 47-61)
.
2023
Persistent link: https://www.econbiz.de/10014366586
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