Narrow search
Showing 21 - 30 of 121,825
Cover Image
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa; Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Cover Image
Power-type derivatives for rough volatility with jumps
Wang, Liang; Xia, Weixuan - In: The journal of futures markets 42 (2022) 7, pp. 1369-1406
Persistent link: https://www.econbiz.de/10013287974
Cover Image
Pricing VXX options by modeling VIX directly
Lin, Wei; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 5, pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
Cover Image
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen; Elliott, Robert J. - In: The journal of derivatives : JOD 29 (2022) 3, pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Cover Image
Hedging surprises, jumps, and model misspecification : a risk management perspective on hedging S&P 500 options
Kaeck, Andreas - In: Review of finance : journal of the European Finance … 17 (2013) 4, pp. 1535-1569
Persistent link: https://www.econbiz.de/10009776228
Cover Image
A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles; Fuh, Cheng-der; Lin, Shih-kuei - In: Journal of banking & finance 37 (2013) 8, pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451
Cover Image
Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
Cover Image
The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
Cover Image
Fair value accounting in the absence of prudence in accounting standards : an illustration with exotic derivatives
Marabel-Romo, Jacinto; Guiral, Andrés; Crespo Espert, … - In: Spanish journal of finance and accounting 46 (2017) 2/174, pp. 145-167
Persistent link: https://www.econbiz.de/10012128154
Cover Image
Volatility Index
Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782
Persistent link: https://www.econbiz.de/10012294919