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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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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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Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Gulisashvili, Archil - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
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Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
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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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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
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Pricing of perpetual American options in a model with partial information
Gapeev, Pavel V. - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10009562132
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The binomial interpolated lattice method for step double barrier options
Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-26
Persistent link: https://www.econbiz.de/10010438537
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Monotonicity in the volatility of single-barrier option prices
Eriksson, Jonatan - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 987-996
Persistent link: https://www.econbiz.de/10003380317
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Componentwise splitting methods for pricing American options under stochastic volatility
Ikonen, Samuli; Toivanen, Jari - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 331-361
Persistent link: https://www.econbiz.de/10003441984