Narrow search
Showing 1 - 10 of 59
Cover Image
Edgeworth binomial trees
Rubinstein, Mark - In: The journal of derivatives : the official publication … 5 (1998) 3, pp. 20-27
Persistent link: https://www.econbiz.de/10001242387
Cover Image
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
Cover Image
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
Cover Image
Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
Cover Image
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
Cover Image
Ensuring more is better : on the simultaneous application of stock and options data to estimate the GARCH options pricing model
Chang, Charles; Cheng, Hung-Wen; Fuh, Cheng-Der - In: The journal of derivatives : the official publication … 26 (2018) 1, pp. 7-25
Persistent link: https://www.econbiz.de/10011968669
Cover Image
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
Cover Image
Stochastic alpha-beta-rho hedging for foreign exchange options : is it worth the effort?
Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 76-89
Persistent link: https://www.econbiz.de/10011404590
Cover Image
Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
Cover Image
A Markov chain model with stochastic default rate for valuation of credit spreads
Kodera, Eiji - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 8-18
Persistent link: https://www.econbiz.de/10001613575