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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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Stochastic-volatility models and the pricing of VIX options
Goard, Joanna; Mazur, Mathew - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 439-458
Persistent link: https://www.econbiz.de/10009783359
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GARCH option pricing models, the CBOE VIX, and variance risk premium
Hao, Jinji; Zhang, Jin E. - In: Journal of financial econometrics : official journal of … 11 (2013) 3, pp. 556-580
Persistent link: https://www.econbiz.de/10009786515
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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Forward-looking market risk premium
Duan, Jin-Chuan; Zhang, Weiqi - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 521-538
Persistent link: https://www.econbiz.de/10010258775
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Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Miao, Daniel Wei-chung; Lin, Xenos Chang-shuo; Chao, … - In: Operations research letters 42 (2014) 1, pp. 27-33
Persistent link: https://www.econbiz.de/10010259274
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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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Valuation of reverse convertibles in the variance gamma economy
Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 244-258
Persistent link: https://www.econbiz.de/10010259402
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Modeling volatility smile : empirical evidence from India
Singh, Vipul Kumar - In: Journal of derivatives & hedge funds 19 (2013) 3, pp. 208-240
Persistent link: https://www.econbiz.de/10010259418
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A quantitative mirror on the Euribor market using implied probability density functions
Puigvert-Gutiérrez, Josep Maria; De Vincent-Humphreys, … - In: Eurasian economic review : a journal of the Eurasia … 2 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010340001