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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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Simulation von Schluss-, Minimal- und Maximalwerten spezieller Preisprozesse mit Anwendungen in der Optionsbewertung
Becker, Martin - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003684371
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Empirischer Vergleich von Optionspreismodellen auf Basis Zeitdeformierter Lévy-Prozesse : Kalibrierung, Hedging, Modellrisiko
Dahlbokum, Achim - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013432982
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Frontiers in quantitative finance : volatility and credit risk modeling
Cont, Rama (ed.) - 2009
Persistent link: https://www.econbiz.de/10003722007
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Extracting risk-neutral probability distributions from option prices using trading volume as a filter
Dupont, Dominique Y. - 2001
Persistent link: https://www.econbiz.de/10001608103
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
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Currency derivatives : pricing theory, exotic options, and hedging applications
DeRosa, David F. (ed.) - 1998
Persistent link: https://www.econbiz.de/10000653853
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The SABR/LIBOR market model : pricing, calibrating and hedging for complex interst-rate derivatives
Rebonato, Riccardo; McKay, Kenneth; White, Richard - 2009
Persistent link: https://www.econbiz.de/10003767860
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Pricing interest-rate derivatives : a fourier-transform based approach
Bouziane, Markus - 2008
Persistent link: https://www.econbiz.de/10003571605
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SABR and SABR LIBOR market models in practice : with examples implemented in Python
Crispoldi, Christian; Wigger, Gérald; Larkin, Peter - 2015
Persistent link: https://www.econbiz.de/10011374239