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Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
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Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied volatility
Brigo, Damiano - In: Options - 45 years since the publication of the …, (pp. 47-61). 2023
Persistent link: https://www.econbiz.de/10014366586
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Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
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Beware of extreme investor sentiments! : Indian evidence on the performance of neuro-specific options volatility trading strategies on the facets of COVID-19
Royit, Ansu; Jose, Babu; Varghese, James - In: Journal of emerging market finance 22 (2023) 3, pp. 326-350
Persistent link: https://www.econbiz.de/10014382363
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Delta hedging bitcoin options with a smile
Alexander, Carol; Imeraj, Arben - In: Quantitative finance 23 (2023) 5, pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
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Knowledge mapping of studies on implied volatility in equity derivatives markets : a bibliometric approach
Sharma, Vijay Kumar; Bhatia, Satinder - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 188-207
Persistent link: https://www.econbiz.de/10015064443
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Closed form valuation of barrier options with stochastic barriers
Guillaume, Tristan - In: Risk management decisions and value under uncertainty, (pp. 1021-1050). 2022
Persistent link: https://www.econbiz.de/10013342082
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Pricing turbo certificates in the presence of stochastic jumps, interest rates, and volatility
Muck, Matthias - In: Die Betriebswirtschaft : DBW 67 (2007) 2, pp. 224-240
Persistent link: https://www.econbiz.de/10003436645
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Spanning tests for options using principal components methods
Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746
Persistent link: https://www.econbiz.de/10003491227
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A new type of barrier options : lizard option
Kawanishi, Yasuhiro - In: Asia-Pacific financial markets 22 (2015) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10010511547