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Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation

Gobet, Emmanuel; Hok, Julien - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10010363919

Volatility derivatives and model-free implied leverage

Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10010363969

Target volatility option pricing

Di Graziano, Giuseppe; Torricelli, Lorenzo - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10009562145

Implied volatility estimation of bitcoin options and the stylized facts of option pricing

Zulfiqar, Noshaba; Gulzar, Saqib - In: Financial innovation : FIN 7 (2021), pp. 1-30

trade and hedge volatile swings in Bitcoin prices effectively. The violation of constant volatility and the log …-normality assumption of the Black-Scholes option pricing model led to the discovery of the volatility smile, smirk, or skew in options … markets. These stylized facts; that is, the volatility smile and implied volatilities implied by the option prices, are well …

Persistent link: https://www.econbiz.de/10012617423

Price risk management by using dynamic hedging based on advanced Black-Scholes model

Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012602709

Model risk and model choice in the case of barrier options and bonus certificates

Baule, Rainer; Shkel, David Sebastian - In: Journal of banking & finance 133 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013256692

Endogenous option pricing

Gamba, Andrea; Saretto, Alessio - 2022

Persistent link: https://www.econbiz.de/10013170529

Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China

Yu, Xiao-Jian; Wang, Zi-Ling; Xiao, Wei-Lin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012665985

Ad-Hoc Black-Scholes vis-à-vis TSRV-based Black-Scholes : evidence from Indian options market

Dixit, Alok; Singh, Shivam - In: Journal of quantitative economics 16 (2018) 1, pp. 57-88

Persistent link: https://www.econbiz.de/10012418326

A note on the implied volatility of floating strike Asian options

Alòs, Elisa; León, Jorge A. - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 743-758

Persistent link: https://www.econbiz.de/10012127320