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Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 3, pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
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Universal arbitrage-free estimation of state price density
Hu, Qi; Newton, David P. - In: The journal of derivatives : JOD 28 (2021) 3, pp. 35-59
Persistent link: https://www.econbiz.de/10012486030
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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
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Analytical valuation of exotic double barrier options
Chang, Jui-Jane; Pai, Hui-Ming; Wu, Ting-Pin - In: The journal of derivatives : JOD 28 (2021) 3, pp. 97-122
Persistent link: https://www.econbiz.de/10012486032
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A bivariate lattice model to compute risk measures in life insurance policies
Costabile, Massimo - In: The journal of derivatives : JOD 28 (2021) 3, pp. 123-139
Persistent link: https://www.econbiz.de/10012486033
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How rational are the option prices of the Hong Kong dollar exchange rate?
Drapeau, Samuel; Wang, Tan; Wang, Tao - In: The journal of derivatives : JOD 28 (2021) 3, pp. 140-161
Persistent link: https://www.econbiz.de/10012486035
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Can the improved CMBO strategies beat the CMBO index?
Liu, Wei-Han; Chang, Jow-Ran - In: The journal of derivatives : JOD 28 (2021) 3, pp. 163-183
Persistent link: https://www.econbiz.de/10012486036
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Optimal volatility dependent derivatives in the stochastic volatility model
Dyachenko, Artem; Rieger, Marc Oliver - In: The journal of derivatives : JOD 28 (2021) 4, pp. 24-44
Persistent link: https://www.econbiz.de/10012612918
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Bias correction for bond option greeks via jackknife
Zhang, Jinyu; Gao, Kang; Li, Yong - In: The journal of derivatives : JOD 28 (2021) 4, pp. 45-63
Persistent link: https://www.econbiz.de/10012612919
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A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu; Kirkby, Justin; Nguyen, Duy; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 4, pp. 111-127
Persistent link: https://www.econbiz.de/10012612926