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Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
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Target volatility option pricing
Di Graziano, Giuseppe; Torricelli, Lorenzo - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10009562145
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Implications for hedging of the choice of driving process for one-factor Markov-functional models
Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51
Persistent link: https://www.econbiz.de/10009783994
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Model-free implied volatility : from surface to index
Fukasawa, Masaaki; Ishida, I.; Maghrebi, N.; Oya, Kosuke; … - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 433-463
Persistent link: https://www.econbiz.de/10009269385
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Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
Gobet, Emmanuel; Hok, Julien - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10010363919
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An explicit implied volatiltiy formula
Stefanica, Dan; Radoičić, Radoš - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-32
Persistent link: https://www.econbiz.de/10011763940
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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
Grishchenko, Olesya; Han, Xiao; Nistor, Victor - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-49
Persistent link: https://www.econbiz.de/10012271002
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680