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Vulnerable American options
Klein, Peter; Yang, Jun - In: Managerial finance 36 (2010) 5, pp. 414-430
Persistent link: https://www.econbiz.de/10003987906
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Optimal martingales and American option pricing
Cerrato, Mario; Abbasyan, Abdollah - 2009
Persistent link: https://www.econbiz.de/10003875010
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Improved implementation of local volatility and its application to S&P 500 Index options
Orosi, Greg - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 53-64
Persistent link: https://www.econbiz.de/10003961021
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Performance attribution of options : defining single-stock option exposures and understanding the Brinson-Fachler effects
Morgan, Stuart - In: The journal of portfolio management : a publication of … 40 (2014) 2, pp. 103-111
Persistent link: https://www.econbiz.de/10010365071
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An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung; Lee, Yung-Hsin; Chao, Wan-Ling - In: The journal of futures markets 35 (2015) 12, pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
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A generalization of the Barone-Adesi and Whaley approach for the analytic approximation of American options
Guo, Jia-hau; Hung, Mao-Wei; So, Leh-chyan - In: The journal of futures markets 29 (2009) 5, pp. 478-493
Persistent link: https://www.econbiz.de/10003827779
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Smiling less at LIFFE
Lin, Bing-huei; Chang, Ing-jye; Paxson, Dean A. - In: The journal of futures markets 28 (2008) 1, pp. 57-81
Persistent link: https://www.econbiz.de/10003746339
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Vix option pricing
Lin, Yueh-neng; Chang, Chien-hung - In: The journal of futures markets 29 (2009) 6, pp. 523-543
Persistent link: https://www.econbiz.de/10003842866
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A generalization of Gray and Whaley's reset option
François-Heude, Alain; Yousfi, Ouidad - In: The journal of asset management 16 (2015) 4, pp. 223-235
Persistent link: https://www.econbiz.de/10011413331
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Demand-based option pricing
Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M. - 2005
Persistent link: https://www.econbiz.de/10003240184