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A comparison of q-optimal option prices in a stochastic volatility model with correlation
Henderson, Vicky; Hobson, David G.; Howison, Sam; … - 2003
Persistent link: https://www.econbiz.de/10009581657
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Analytical comparisons of option prices in stochastic volatility models
Henderson, Vicky - 2002
Persistent link: https://www.econbiz.de/10009581661
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Coupling and option price comparisons in a jumb-diffusion model
Henderson, Vicky; Hobson, David G. - 2002
Persistent link: https://www.econbiz.de/10009581663
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A note on the pricing and hedging of volatility derivatives
Howison, Sam; Rafailidis, A.; Rasmussen, H. O. - 2001
Persistent link: https://www.econbiz.de/10009581664
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Trading volume in models of financial derivatives
Howison, Sam; Lamper, David - 2000
Persistent link: https://www.econbiz.de/10009581670
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Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581672
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On valuing and hedging European options when volatility is estimated directly
Popovic, Ray; Goldsman, David Morris - In: European journal of operational research : EJOR 218 (2012) 1, pp. 124-131
Persistent link: https://www.econbiz.de/10009501057
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FX risk-neutral valuation relationships for the S u jump-diffusion family
Câmara, Ana; Câmara, António; Popova, Ivilina; … - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 339-356
Persistent link: https://www.econbiz.de/10009508891
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Implied volatility smiles, option mispricing and net buying pressure : evidence around the global financial crisis
Larkin, J.; Brooksby, A.; Lin, Chien-ting; Zurbruegg, Ralf - In: Accounting and finance : journal of the Accounting … 52 (2012) 1, pp. 47-69
Persistent link: https://www.econbiz.de/10009512728
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Two-State volatility transition pricing and hedging of TXO options
Su, Ender; Lin, Feng-jeng - In: Computational economics 39 (2012) 3, pp. 259-287
Persistent link: https://www.econbiz.de/10009513153