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Interst rate derivatives in a Duffie and Kan model with stochastic volatility : an Arrow-Debreu pricing approach
Nunes, Jo~ao Pedro Vidal; Clewlow, Les; Hodges, Stewart D. - In: Review of derivatives research 3 (1999) 1, pp. 5-66
Persistent link: https://www.econbiz.de/10001445808
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The dynamics of the S&P 500 implied volatility surface
Skiadopoulos, George; Hodges, Stewart D.; Clewlow, Les - In: Review of derivatives research 3 (1999) 3, pp. 263-282
Persistent link: https://www.econbiz.de/10001493260
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The smirk in the S&P500 futures options prices : a linearized factor analysis
Carverhill, Andrew; Cheuk, Terry Hon Fu; Dyrting, Sigurd - In: Review of derivatives research 12 (2009) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10003874306
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The Dynamics of the S&P 500 Implied Volatility Surface
Skiadopoulos, George; Hodges, Stewart; Clewlow, Les - In: Review of derivatives research 3 (1999) 3, pp. 263-282
Persistent link: https://www.econbiz.de/10005962192
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Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach
Nunes, Jo~ao Pedro Vidal; Clewlow, Les; Hodges, Stewart - In: Review of derivatives research 3 (1999) 1, pp. 5-66
Persistent link: https://www.econbiz.de/10005962234
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Parametric modeling of implied smile functions: a generalized SVI model
Zhao, Bo; Hodges, Stewart D. - In: Review of derivatives research 16 (2013) 1, pp. 53-77
Persistent link: https://www.econbiz.de/10010095375