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Multi-asset option pricing using normal tempered stable processes with stochastic correlation
Kim, Young Shin; Kim, Hyangju; Choi, Jaehyung; Fabozzi, … - In: The journal of derivatives : JOD 30 (2023) 3, pp. 42-64
Persistent link: https://www.econbiz.de/10014231123
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Option pricing with greed and fear factor : the rational finance approach
Shirvani, Abootaleb; Fabozzi, Frank J.; Racheva-Iotova, … - In: The journal of derivatives : JOD 29 (2021) 2, pp. 77-119
Persistent link: https://www.econbiz.de/10012698127
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GPU-Accelerated American option pricing : the case of the Longstaff-Schwartz Monte Carlo model
Li, Leon Xing; Chen, Ren-Raw; Fabozzi, Frank J. - In: The journal of derivatives : JOD 32 (2024) 2, pp. 72-101
Persistent link: https://www.econbiz.de/10015203208
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A primer on hedging with stock index futures
Fabozzi, Frank J.; Fabozzi, Francesco A. - In: The journal of derivatives : JOD 29 (2022) 4, pp. 39-60
Persistent link: https://www.econbiz.de/10014231046
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Applications of FX derivatives in active currency risk management
Fabozzi, Frank J.; Vohra, Suprita - In: The journal of derivatives : JOD 29 (2022) 4, pp. 168-191
Persistent link: https://www.econbiz.de/10014231064
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The great LIBOR exodus : analytical implications and SOFR transition challenges
Fabozzi, Frank J.; Molyboga, Marat; Russo, Vincenzo - In: The journal of derivatives : JOD 32 (2024) 1, pp. 64-80
Persistent link: https://www.econbiz.de/10015202601
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Caplets/floorlets with backward-looking risk-free rates under the one- and two-factor hull-white models
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of derivatives : JOD 31 (2023) 1, pp. 96-110
Persistent link: https://www.econbiz.de/10014422392