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Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives
Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285
Persistent link: https://www.econbiz.de/10009667379
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The information content of OTC individual put option implied volatility for credit default swap spreads
Park, Yuen Jung; Kim, Tong Suk - In: Asia-Pacific journal of financial studies 41 (2012) 4, pp. 491-516
Persistent link: https://www.econbiz.de/10009618798
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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
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An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
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Implied volatility surface : test of the applicability of parametric models based on the moneyness of options traded in the Brazilian market
Ferreira da Silva, André Luis; Almeida França, Victor de - In: The empirical economics letters : a monthly … 12 (2013) 8, pp. 835-845
Persistent link: https://www.econbiz.de/10010363105
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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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VIX option pricing and CBOE VIX Term Structure : a new methodology for volatility derivatives valuation
Lin, Yueh-neng - In: Journal of banking & finance 37 (2013) 11, pp. 4432-4446
Persistent link: https://www.econbiz.de/10010247020
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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