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The predictive power of the implied volatility of options traded OTC and on exchanges
Yu, Wayne W.; Lui, Evans C. K.; Wang, Jacqueline W. - In: Journal of banking & finance 34 (2010) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10003905624
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Option markets and implied volatility : past versus present
Mixon, Scott - In: Journal of financial economics 94 (2009) 2, pp. 171-191
Persistent link: https://www.econbiz.de/10003906341
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Valuation of volatility sensitive interest rate derivatives in an emerging market
Witzany, Jiří - In: International journal of financial markets and derivatives 1 (2010) 4, pp. 438-451
Persistent link: https://www.econbiz.de/10008665631
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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
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Minimum guaranteed payments and costly cancellation rights : a stopping game perspective
Alvarez, Luis H. R. - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 733-751
Persistent link: https://www.econbiz.de/10008667600
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Complex logarithms in Heston-like models
Lord, Roger; Kahl, Christian - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 671-694
Persistent link: https://www.econbiz.de/10008667627
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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Li, Minqiang - In: Review of derivatives research 13 (2010) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10008695491
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A forward started jump-diffusion model and pricing of cliquet style exotics
Drimus, Gabriel - In: Review of derivatives research 13 (2010) 2, pp. 125-140
Persistent link: https://www.econbiz.de/10008695496
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Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503