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Javaheri, Alireza; Wilmott, Paul; Haug, Espen - In: Quantitative Finance 4 (2004) 5, pp. 589-595

This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH (1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or...

Persistent link: https://www.econbiz.de/10009215026

Option prices and subjective beliefs

Korn, Ralf; Wilmott, Paul - 1996

Persistent link: https://www.econbiz.de/10000954693

An asymptotic analysis of an optimal hedging model for option pricing with transaction costs

Whalley, A. E. - In: Mathematical finance : an international journal of … 7 (1997) 3, pp. 307-324

Persistent link: https://www.econbiz.de/10001224009

Uncertain parameters, an empirical stochastic volatility model and confidence limits

Wilmott, Paul - In: International journal of theoretical and applied finance 1 (1998) 1, pp. 175-189

Persistent link: https://www.econbiz.de/10001236669

Asian options as linear complementarity problems : analysis and finite-difference solutions

Dewynne, Jeff N. - In: Advances in futures and options research : a research annual 8 (1995), pp. 145-173

Persistent link: https://www.econbiz.de/10001211297

A general framework for hedging and speculating with options

Korn, Ralf - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 507-522

Persistent link: https://www.econbiz.de/10001255557

A new model for interest rates

Epstein, D. - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 195-226

Persistent link: https://www.econbiz.de/10001240158

Exotic passport options

Penaud, Antony; Wilmott, Paul; Ahn, Hyungsok - In: Asia-Pacific financial markets 6 (1999) 2, pp. 171-182

Persistent link: https://www.econbiz.de/10001449321

Paul Wilmott on quantitative finance

Wilmott, Paul - 2000

Persistent link: https://www.econbiz.de/10001425834

Pricing parisian options

Haber, Richard J.; Schönbucher, Philipp J.; Wilmott, Paul - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 71-79

Persistent link: https://www.econbiz.de/10001432501

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