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GARCH option pricing models with Meixner innovations
Fengler, Matthias; Melnikov, Alexander - In: Review of derivatives research 21 (2018) 3, pp. 277-305
Persistent link: https://www.econbiz.de/10012055743
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The Dynamics of Implied Volatilities: A Common Principal Components Approach
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, … - In: Review of derivatives research 6 (2003) 3, pp. 179-202
Persistent link: https://www.econbiz.de/10005931028
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Static versus dynamic hedges: an empirical comparison for barrier options
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; … - In: Review of derivatives research 9 (2006) 3, pp. 239
Persistent link: https://www.econbiz.de/10007877250
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The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - In: Review of derivatives research 6 (2003) 3, pp. 179-202
Persistent link: https://www.econbiz.de/10001905297
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Static versus dynamic hedges : an empirical comparison for barrier options
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; … - In: Review of derivatives research 9 (2006) 3, pp. 239-264
Persistent link: https://www.econbiz.de/10003608141