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453
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441
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440
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429
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396
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353
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338
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330
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321
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297
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101
Coupling and option price comparisons in a jumb-diffusion model
Henderson, Vicky
;
Hobson, David G.
-
2002
Persistent link: https://www.econbiz.de/10009581663
Saved in:
102
Conditional density models for asset pricing
Filipović, Damir
;
Hughston, Lane P.
;
Macrina, Andrea
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009562159
Saved in:
103
A jump diffusion model for VIX
volatility
options and futures
Psychoyios, Dimitris
;
Dotsis, George
;
Markellos, Raphaēl N.
- In:
Review of quantitative finance and accounting
35
(
2010
)
3
,
pp. 245-269
Persistent link: https://www.econbiz.de/10009260276
Saved in:
104
Pricing and hedging
volatility
smile under multifactor interest rate models
Kuo, I.-doun
- In:
Review of quantitative finance and accounting
36
(
2011
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10009271374
Saved in:
105
Semi-static hedging of barrier options under poisson jumps
Carr, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
Saved in:
106
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Saved in:
107
Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya
;
Bojarčenko, Svetlana I.
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
Saved in:
108
Hedging surprises, jumps, and model misspecification : a risk management perspective on hedging S&P 500 options
Kaeck, Andreas
- In:
Review of finance : journal of the European Finance …
17
(
2013
)
4
,
pp. 1535-1569
Persistent link: https://www.econbiz.de/10009776228
Saved in:
109
A tale of two regimes :
theory
and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles
;
Fuh, Cheng-der
;
Lin, Shih-kuei
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451
Saved in:
110
A general closed-form spread option pricing formula
Caldana, Ruggero
;
Fusai, Gianluca
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
Saved in:
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