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A guide to volatility and variance swaps
Demeterfi, Kresimir (contributor) - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 9-32
Persistent link: https://www.econbiz.de/10001432447
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Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François; Boudreault, Mathieu; … - In: The journal of futures markets 44 (2024) 1, pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
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Asset swaps with Asian-style payoffs
Chance, Don M. - In: The journal of derivatives : the official publication … 3 (1996) 4, pp. 64-77
Persistent link: https://www.econbiz.de/10001202803
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Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul; Dowd, Kevin; Cairns, Andrew; Blake, David - In: The journal of futures markets 29 (2009) 8, pp. 757-774
Persistent link: https://www.econbiz.de/10003900592
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Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates
Guo, Jia-hau - In: The journal of futures markets 31 (2011) 4, pp. 340-370
Persistent link: https://www.econbiz.de/10008908378
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Convexity meets replication : hedging of swap derivatives and annuity options
Zheng, Wendong; Kwok, Yue-Kuen - In: The journal of futures markets 31 (2011) 7, pp. 659-678
Persistent link: https://www.econbiz.de/10009009213
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Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
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Pricing commodity swaptions in multifactor models
Larsson, Karl - In: The journal of derivatives : the official publication … 19 (2011) 2, pp. 32-44
Persistent link: https://www.econbiz.de/10009413614
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A comparison of Markov-functional and market models : the one-dimensional case
Bennett, Michael N.; Kennedy, Joanne E. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 22-43
Persistent link: https://www.econbiz.de/10003299540