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Venturing into uncharted territory : an extensible implied volatility surface model
François, Pascal; Galarneau-Vincent, Rémi; Gauthier, … - In: The journal of futures markets 42 (2022) 10, pp. 1912-1940
Persistent link: https://www.econbiz.de/10013465829
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Parameter estimation risk in asset pricing and risk management : a Bayesian approach
Tunaru, Radu; Zheng, Teng - In: International review of financial analysis 53 (2017), pp. 80-93
Persistent link: https://www.econbiz.de/10011877849
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Unbiased sensitivity estimation of one-dimensional diffusion processes
Kang, Wanmo; Lee, Jong Mun - In: Mathematics of operations research 44 (2019) 1, pp. 334-353
Persistent link: https://www.econbiz.de/10012001124
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An integral representation of elasticity and sensitivity for stochastic volatility models
Cui, Zhenyu; Nguyen, Duy; Park, Hyungbin - In: Mathematics and financial economics 12 (2018) 2, pp. 249-274
Persistent link: https://www.econbiz.de/10011963852
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Sensitivity-based Conditional Value at Risk (SCVaR) : an efficient measurement of credit exposure for options
Shi, Ruoshi; Zhao, Yanlong; Bao, Ying; Peng, Cheng - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013539080