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Stock index volatility expectations implied by call options premia
Rindell, Krister - 1989
Persistent link: https://www.econbiz.de/10000767421
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Contingent claims and market completeness in a stochastic volatility model
Romano, Marc; Touzi, Nizar - 1993
Persistent link: https://www.econbiz.de/10000874372
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10000550284
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The options edge : winning the volatility game with options on futures
Gallacher, William R. - 1998
Persistent link: https://www.econbiz.de/10000670962
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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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Optionsbewertung mit stochastischer Volatilität : Implementation des Heston-Modells
Muck, Matthias; Rudolf, Markus - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 35 (2006) 6, pp. 325-330
Persistent link: https://www.econbiz.de/10003324884
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Does hedging with implied volatility factors improve the hedging efficiency of barrier options?
Borak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang - In: The journal of risk model validation 3 (2009/10) 1, pp. 73-92
Persistent link: https://www.econbiz.de/10003848886
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Exotic option pricing in Heston's stochastic volatility model
Griebsch, Susanne A. - 2008
Persistent link: https://www.econbiz.de/10003881039
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Alternative formulas to compute implied standard deviation
Ang, James S.; Jou, Gwoduan David; Lai, Tsong-yue - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 159-176
Persistent link: https://www.econbiz.de/10003871567
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Hedging under alternative stickiness assumptions : an emperical analysis for barrier options
Engelmann, Bernd; Fengler, Matthias R.; Schwendner, Peter - In: Journal of risk 12 (2009/10) 1, pp. 53-77
Persistent link: https://www.econbiz.de/10003900335