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Pricing eurodollar futures options using the BDT term structure model : the effect of yield curve smoothing
Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of futures markets 20 (2000) 3, pp. 293-306
Persistent link: https://www.econbiz.de/10001485244
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Implementation of the BDT model with different volatility estimators : applications to Eurodollar futures options
Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of fixed income 8 (1999) 4, pp. 24-34
Persistent link: https://www.econbiz.de/10001432399
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Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models : an empirical comparison
Mathis, Roswell E.; Bierwag, Gerald O. - In: The journal of futures markets 19 (1999) 3, pp. 291-306
Persistent link: https://www.econbiz.de/10001377950
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Pricing European Asian options with skewness and kurtosis in the underlying distribution
Lo, Keng-hsin; Wang, Kehluh; Hsu, Ming-feng - In: The journal of futures markets 28 (2008) 6, pp. 598-616
Persistent link: https://www.econbiz.de/10003715035
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FX basket options
Hakala, Jürgen; Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003754877
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Foreign exchange symmetries
Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003737654
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Foreign exchange quanto options
Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003737655
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Vanna-volga pricing
Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003737656
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Pricing currency options in the presence of time-varying volatility and non-normalities
Lim, Guay C.; Martin, Gael M.; Martin, Vance - In: Journal of multinational financial management 16 (2006) 3, pp. 291-314
Persistent link: https://www.econbiz.de/10003328760
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FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2009
Persistent link: https://www.econbiz.de/10003901919