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An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
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Pricing exotic derivatives exploiting structure
Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European journal of operational research : EJOR 236 (2014) 1, pp. 369-381
Persistent link: https://www.econbiz.de/10010361703
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Implied volatility surface : test of the applicability of parametric models based on the moneyness of options traded in the Brazilian market
Ferreira da Silva, André Luis; Almeida França, Victor de - In: The empirical economics letters : a monthly … 12 (2013) 8, pp. 835-845
Persistent link: https://www.econbiz.de/10010363105
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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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VIX option pricing and CBOE VIX Term Structure : a new methodology for volatility derivatives valuation
Lin, Yueh-neng - In: Journal of banking & finance 37 (2013) 11, pp. 4432-4446
Persistent link: https://www.econbiz.de/10010247020
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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
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Option pricing with economic feasibility
Yu, Yi-jang - In: Modern economy 4 (2013) 1, pp. 73-76
Persistent link: https://www.econbiz.de/10010201966
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Crooked volatility smiles : evidence from leveraged and inverse ETF options
Deng, Geng; Dulaney, Tim; McCann, Craig; Yan, Mike - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 278-294
Persistent link: https://www.econbiz.de/10010259400
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666