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Pricing lookback and barrier options under the CEV process
Boyle, Phelim P.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 241-264
Persistent link: https://www.econbiz.de/10001436318
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Asian options, the sum of lognormals, and the reciprocal gamma distribution
Milevsky, Moshe Arye - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 3, pp. 409-422
Persistent link: https://www.econbiz.de/10001251497
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Pricing bounds on Asian options
Aase Nielsen, Jørgen; Sandmann, Klaus - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 449-473
Persistent link: https://www.econbiz.de/10001766894
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An empirical examination of call option values implicit in US corporate bonds
King, Tao-Hsien Dolly - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 4, pp. 693-721
Persistent link: https://www.econbiz.de/10001724589
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Generalized analytical upper bounds for American option prices
Chung, San-lin; Chang, Hsieh-chung - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 209-227
Persistent link: https://www.econbiz.de/10003434630
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Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
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A tractable framework for option pricing with dynamic market maker inventory and wealth
Fournier, Mathieu; Jacobs, Kris - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 4, pp. 1117-1162
Persistent link: https://www.econbiz.de/10012244210
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Maturity driven mispricing of options
Eisdorfer, Assaf; Sadka, Ronnie; Zhdanov, Alexei - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 2, pp. 514-542
Persistent link: https://www.econbiz.de/10012805807
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Leaders, followers, and risk dynamics in industry equilibrium
Carlson, Murray; Dockner, Engelbert J.; Fisher, Adlai; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 2, pp. 321-349
Persistent link: https://www.econbiz.de/10010487155
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Pricing European and American derivatives under a jump-diffusion process : a bivariate tree aproach
Hilliard, Jimmy E.; Schwartz, Adam - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 3, pp. 671-692
Persistent link: https://www.econbiz.de/10003160394