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Crooked volatility smiles : evidence from leveraged and inverse ETF options
Deng, Geng; Dulaney, Tim; McCann, Craig; Yan, Mike - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 278-294
Persistent link: https://www.econbiz.de/10010259400
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Valuation of reverse convertibles in the variance gamma economy
Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 244-258
Persistent link: https://www.econbiz.de/10010259402
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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A general closed-form spread option pricing formula
Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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Pricing forward skew dependent derivatives : multifactor versus single-factor stochastic volatility models
Marabel Romo, Jacinto - In: The journal of futures markets 34 (2014) 2, pp. 124-144
Persistent link: https://www.econbiz.de/10010255495
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A new elementary geometric approach to option pricing bounds in discrete time models
Braouezec, Yann; Grunspan, Cyril - In: European journal of operational research : EJOR 249 (2016) 1, pp. 270-280
Persistent link: https://www.econbiz.de/10011435842
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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Pricing and hedging basket options with exact moment matching
Leccadito, Arturo; Paletta, Tommaso; Tunaru, Radu - In: Insurance / Mathematics & economics 69 (2016), pp. 59-69
Persistent link: https://www.econbiz.de/10011530924
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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749