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Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Romo, Jacinto Marabel - In: Review of derivatives research 19 (2016) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10011742281
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Option pricing model with sentiment
Yang, Chunpeng; Gao, Bin; Yang, Jianlei - In: Review of derivatives research 19 (2016) 2, pp. 147-164
Persistent link: https://www.econbiz.de/10011927963
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Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
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Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
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A bias in the volatility smile
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
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The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric; Eghbalzadeh, Ramin; Gaillardetz, Patrice - In: Review of derivatives research 26 (2023) 2/3, pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
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Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671