Narrow search
Showing 31 - 40 of 687,103
Cover Image
A forward started jump-diffusion model and pricing of cliquet style exotics
Drimus, Gabriel - In: Review of derivatives research 13 (2010) 2, pp. 125-140
Persistent link: https://www.econbiz.de/10008695496
Cover Image
Put-call symmetry : extensions and applications
Carr, Peter; Lee, Roger - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 523-560
Persistent link: https://www.econbiz.de/10003937125
Cover Image
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: The journal of futures markets 31 (2011) 2, pp. 103-125
Persistent link: https://www.econbiz.de/10008908408
Cover Image
Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …
Persistent link: https://www.econbiz.de/10008797695
Cover Image
Volatility and price information contained in selected agricultural futures options
Egelkraut, Thorsten Michael - 2005
Persistent link: https://www.econbiz.de/10003380192
Cover Image
A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
Cover Image
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
Cover Image
Collateral Smile
Leippold, Markus; Su, Lujing - 2011
prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
Cover Image
A GARCH model of the implied volatility of the Swiss market index from options prices
Linton, Oliver; Sabbatini, Michael - 2004
Persistent link: https://www.econbiz.de/10002815616
Cover Image
On the errors and comparison of Vega estimation methods
Chung, San-lin; Shackleton, Mark B. - In: The journal of futures markets 25 (2005) 1, pp. 21-38
Persistent link: https://www.econbiz.de/10002528175