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Is there information in the volatility skew?
Doran, James S.; Peterson, David R.; Tarrant, Brian C. - In: The journal of futures markets 27 (2007) 10, pp. 921-959
Persistent link: https://www.econbiz.de/10003531001
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Impact of net buying pressure on changes in implied volatility : before and after the onset of the subprime crisis
Shiu, Yung-ming; Pan, Ging-ginq; Lin, Shu-hui; Wu, Tu-cheng - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 54-66
Persistent link: https://www.econbiz.de/10003985513
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Conservative Delta hedging under transaction costs
Fukasawa, Masaaki - In: Recent advances in financial engineering 2011: …, (pp. 55-72). 2012
Persistent link: https://www.econbiz.de/10009573488
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Pricing American put options by fast solutions of the linear complementarity problem
Borici, Artan; Lüthi, Hans-Jakob - In: Computational methods in decision-making, economics and …, (pp. 325-338). 2010
Persistent link: https://www.econbiz.de/10009153077
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Optimal limit methods for computing sensitivities of discontinious integrals including triggerable derivative securities
Chan, Jiun Hong; Joshi, Mark S. - 2012
Persistent link: https://www.econbiz.de/10009553205
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Derivatives and exotics
Masson, Dubos - In: Journal of corporate treasury management : the official … 4 (2010/11) 2, pp. 174-192
Persistent link: https://www.econbiz.de/10009242921
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Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula
Haug, Espen Gaarder; Taleb, Nassim Nicholas - In: Journal of economic behavior & organization : JEBO 77 (2011) 2, pp. 97-106
Persistent link: https://www.econbiz.de/10009244114
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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - 2015
Persistent link: https://www.econbiz.de/10011397788
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An empirical analysis of Black-Scholes Option Model with specific reference to IT stock options
Panduranga, V. - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 218-225
Persistent link: https://www.econbiz.de/10011398439
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Efficient high-order numerical methods for pricing of options
Hajipour, Mojtaba; Malek, Alaeddin - In: Computational economics 45 (2015) 1, pp. 31-47
Persistent link: https://www.econbiz.de/10010511343