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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
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1
Pricing Bermudan variance swaptions using multinomial trees
Zhao, Honglei
;
Chatterjee, Rupak
;
Lonon, Thomas
; …
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 22-34
Persistent link: https://www.econbiz.de/10012306151
Saved in:
2
Volatility surface calibration to illiquid options
Nagy, László
;
Ormos, Mihály
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
Saved in:
3
A stochastic-volatility model for pricing power variants of exchange options
Xia, Weixuan
- In:
The journal of derivatives : the official publication …
26
(
2019
)
4
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012306204
Saved in:
4
Implied volatility across geographical markets and asset classes
Velev, Julian P.
;
Payne, Brian C.
;
Trešl, Jiří
; …
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 7-23
Persistent link: https://www.econbiz.de/10011965366
Saved in:
5
Volatility aversion in the options market based on news sentiment
Uhl, Matthias
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011965368
Saved in:
6
An empirical examination of the relation between the option-implied volatility smile and heterogeneous beliefs
Feng, Shu
;
Pu, Xiaoling
;
Zhang, Yi
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011965383
Saved in:
7
New approach to estimating VIX truncation errors using corridor variance swaps
Wu, Desheng Dash
;
Liu, Tianxiang
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 54-70
Persistent link: https://www.econbiz.de/10011968667
Saved in:
8
Implied volatility estimation via l1 trend filtering
Crespo, Pablo
;
Huang, Ta-Cheng
- In:
The journal of derivatives : the official publication …
26
(
2018
)
1
,
pp. 45-66
Persistent link: https://www.econbiz.de/10011968672
Saved in:
9
Curve-fitting method for implied volatility
Wu, Desheng Dash
;
Liu, Tianxiang
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
Saved in:
10
Option writing : using VIX to improve returns
Malkiel, Burton G.
;
Rinaudo, Alex
;
Saha, Atanu
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 38-49
Persistent link: https://www.econbiz.de/10011968697
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11
A financially motivated extension of the Heston model for a joint P- and Q-dynamics analysis of variance
Rebonato, Riccardo
;
Ng, Chu Ming
- In:
The journal of derivatives : the official publication …
25
(
2018
)
3
,
pp. 55-80
Persistent link: https://www.econbiz.de/10011941367
Saved in:
12
Sector option implied volatility dynamics and predictability
Marks, Joseph M.
;
Simon, David P.
- In:
The journal of derivatives : the official publication …
25
(
2017
)
2
,
pp. 22-42
Persistent link: https://www.econbiz.de/10011941219
Saved in:
13
Volatility leadership among index options
Figlewski, Stephen
;
Frommherz, Anja
- In:
The journal of derivatives : the official publication …
25
(
2017
)
2
,
pp. 43-60
Persistent link: https://www.econbiz.de/10011941221
Saved in:
14
The implied convexity of VIX futures
Daigler, Robert T.
;
Dupoyet, Brice
;
Patterson, Fernando M.
- In:
The journal of derivatives : the official publication …
23
(
2016
)
3
,
pp. 73-90
Persistent link: https://www.econbiz.de/10011687233
Saved in:
15
On pricing Asian options under stochastic volatility
Russo, Emilio
;
Staino, Alessandro
- In:
The journal of derivatives : the official publication …
23
(
2016
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
Saved in:
16
Option-implied volatility measures and stock return predictability
Fu, Xi
;
Arisoy, Yakup Eser
;
Shackleton, Mark B.
; …
- In:
The journal of derivatives : the official publication …
24
(
2016
)
1
,
pp. 58-78
Persistent link: https://www.econbiz.de/10011687331
Saved in:
17
Option pricing via QUAD : from Black-Scholes-Merton to Heston with jumps
Su, Haozhe
;
Chen, Ding
;
Newton, David P.
- In:
The journal of derivatives : the official publication …
24
(
2017
)
3
,
pp. 9-27
Persistent link: https://www.econbiz.de/10011687339
Saved in:
18
Model-based versus model-free implied volatility : evidence from North American, European, and Asian index option markets
Biktimirov, Ernest N.
;
Wang, Chunrong
- In:
The journal of derivatives : the official publication …
24
(
2017
)
3
,
pp. 42-68
Persistent link: https://www.econbiz.de/10011687342
Saved in:
19
The market price of volatility risk and the dynamics of market and actuarial implied volatilities
Rebonato, Riccardo
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 21-51
Persistent link: https://www.econbiz.de/10011687425
Saved in:
20
Calibrating and pricing with a stochastic-local volatility model
Tian, Yu
;
Zhu, Zili
;
Lee, Geoffrey
;
Klebaner, Fima C.
; …
- In:
The journal of derivatives : the official publication …
22
(
2015
)
3
,
pp. 21-39
Persistent link: https://www.econbiz.de/10011399673
Saved in:
21
A GARCH parameterization of the volatility surface
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 9-24
Persistent link: https://www.econbiz.de/10011399795
Saved in:
22
The VIX futures basis : evidence and trading strategies
Simon, David P.
;
Campasano, Jim
- In:
The journal of derivatives : the official publication …
21
(
2014
)
3
,
pp. 54-69
Persistent link: https://www.econbiz.de/10010387686
Saved in:
23
Implied volatility dynamics among exchange-traded funds and their largest component stocks
Krause, Timothy A.
;
Lien, Da-hsiang Donald
- In:
The journal of derivatives : the official publication …
22
(
2014
)
1
,
pp. 7-26
Persistent link: https://www.econbiz.de/10011634574
Saved in:
24
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Saved in:
25
Valuation of perpetual strangles : a quasi-analytical approach
Chuang, Chienmin
- In:
The journal of derivatives : the official publication …
21
(
2013
)
1
,
pp. 64-72
Persistent link: https://www.econbiz.de/10010191934
Saved in:
26
Pricing American options in the Heston model : a close look at incorporating correlation
Ruckdeschel, Peter
;
Sayer, Tilman
;
Szimayer, Alexander
- In:
The journal of derivatives : the official publication …
20
(
2012
)
3
,
pp. 9-29
Persistent link: https://www.econbiz.de/10009725351
Saved in:
27
A forward shooting grid method for option pricing with stochastic volatility
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
The journal of derivatives : the official publication …
20
(
2012
)
2
,
pp. 67-78
Persistent link: https://www.econbiz.de/10009718105
Saved in:
28
Determinants of trading activity on the single-stock future market : evidence from the Eurex Exchange
Białkowski, Je̜drzej
;
Jakubowski, Jacek
- In:
The journal of derivatives : the official publication …
19
(
2012
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10009671108
Saved in:
29
Correlation, smile, volatility skew, and systematic risk sensitivity of tranches
Hamerle, Alfred
;
Igl, Andreas
;
Plank, Kilian
- In:
The journal of derivatives : the official publication …
19
(
2012
)
3
,
pp. 9-27
Persistent link: https://www.econbiz.de/10009671109
Saved in:
30
Risk, return, and ross recovery
Carr, Peter
;
Yu, Jiming
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 38-59
Persistent link: https://www.econbiz.de/10009671710
Saved in:
31
What does implied volatility skew measure?
Mixon, Scott
- In:
The journal of derivatives : the official publication …
18
(
2011
)
3
,
pp. 9-25
Persistent link: https://www.econbiz.de/10009229670
Saved in:
32
A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.
;
Nawalkha, Sanjay K.
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
4
,
pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
Saved in:
33
Impact of net buying pressure on changes in implied volatility : before and after the onset of the subprime crisis
Shiu, Yung-ming
;
Pan, Ging-ginq
;
Lin, Shu-hui
;
Wu, Tu-cheng
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
4
,
pp. 54-66
Persistent link: https://www.econbiz.de/10003985513
Saved in:
34
An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility
Xu, Dinghai
;
Wirjanto, Tony S.
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 39-58
Persistent link: https://www.econbiz.de/10008655519
Saved in:
35
Improved implementation of local volatility and its application to S&P 500 Index options
Orosi, Greg
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 53-64
Persistent link: https://www.econbiz.de/10003961021
Saved in:
36
A simplified approach to approximate diffusion processes widely used in finance
Costabile, Massimo
;
Massabó, Ivar
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 65-85
Persistent link: https://www.econbiz.de/10003961022
Saved in:
37
Lattice methods for no-arbitrage pricing of interest rate securities
Daglish, Toby
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 7-19
Persistent link: https://www.econbiz.de/10008771480
Saved in:
38
The impact of jump dynamics on the predictive power of option-implied densities
Wang, Yaw-huei
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 9-22
Persistent link: https://www.econbiz.de/10003852617
Saved in:
39
Implied correlations : smiles or smirks?
Agca, Senay
;
Agrawal, Deepak
;
Islam, Saiyid
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
2
,
pp. 7-35
Persistent link: https://www.econbiz.de/10003795256
Saved in:
40
Pricing and hedging volatility derivatives
Broadie, Mark
;
Jain, Ashish
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
Saved in:
41
Higher order Greeks
Ederington, Louis H.
;
Guan, Wei
- In:
The journal of derivatives : the official publication …
14
(
2007
)
3
,
pp. 7-34
Persistent link: https://www.econbiz.de/10003447122
Saved in:
42
Extracting model-free volatility from option prices : an examination of the VIX index
Jiang, George J.
;
Tian, Yisong Sam
- In:
The journal of derivatives : the official publication …
14
(
2007
)
3
,
pp. 35-60
Persistent link: https://www.econbiz.de/10003447127
Saved in:
43
On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong
;
Gupta, Anurag
;
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
Saved in:
44
Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation
Benth, Fred Espen
;
Koekebakker, Steen
;
Ollmar, Fridthjof
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 52-66
Persistent link: https://www.econbiz.de/10003611427
Saved in:
45
A new approach for computing option prices of the Hull-White type with stepwise reversion and volatility finctions
Jin, Hui
;
Gotoh, Jun-ya
;
Sumita, Ushio
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 67-85
Persistent link: https://www.econbiz.de/10003611518
Saved in:
46
Time series modeling of daily log-price ranges for CHF/USD and USD/GBP
Brunetti, Celso
;
Lildholdt, Peter M.
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 39-59
Persistent link: https://www.econbiz.de/10003673308
Saved in:
47
A tale of two indices
Carr, Peter
;
Wu, Liuren
- In:
The journal of derivatives : the official publication …
13
(
2006
)
3
,
pp. 13-29
Persistent link: https://www.econbiz.de/10003321077
Saved in:
48
Static hedging of barrier options under general asset dynamics : unification and application
Nalholm, Morten
;
Poulsen, Rolf
- In:
The journal of derivatives : the official publication …
13
(
2006
)
4
,
pp. 46-60
Persistent link: https://www.econbiz.de/10003346503
Saved in:
49
Crash-o-phobia : a domestic fear or a worldwide concern?
Foresi, Silverio
;
Wu, Liuren
- In:
The journal of derivatives : the official publication …
13
(
2005
)
2
,
pp. 8-21
Persistent link: https://www.econbiz.de/10003299538
Saved in:
50
Implied volatility indexes and daily value at risk models
Giot, Pierre
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 54-64
Persistent link: https://www.econbiz.de/10003010792
Saved in:
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