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Option pricing theory
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Figlewski, Stephen
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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1
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Proceedings of China Derivatives Markets Conference 2016
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Forecasting volatility
Figlewski, Stephen
- In:
Financial markets, institutions & instruments
6
(
1997
)
1
Persistent link: https://www.econbiz.de/10001217426
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2
Risk-neutral densities : a review
Figlewski, Stephen
- In:
Annual review of financial economics
10
(
2018
),
pp. 329-359
Persistent link: https://www.econbiz.de/10011959837
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3
An American call is worth more than a European call : the value of American exercise when the market is not perfectly liquid
Figlewski, Stephen
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
3
,
pp. 1023-1057
Persistent link: https://www.econbiz.de/10013187327
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4
The adaptive mesh model : a new approach to efficient option pricing
Figlewski, Stephen
;
Gao, Bin
- In:
Journal of financial economics
53
(
1999
)
3
,
pp. 313-351
Persistent link: https://www.econbiz.de/10001394622
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5
Market risk and model risk for a financial institution writing options
Green, Tracy Clifton
;
Figlewski, Stephen
- In:
The journal of finance : the journal of the American …
54
(
1999
)
4
,
pp. 1465-1499
Persistent link: https://www.econbiz.de/10001395780
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6
Pricing discrete barrier options with an adaptive mesh model
Ahn, Dong-Hyun
;
Figlewski, Stephen
;
Gao, Bin
- In:
The journal of derivatives : the official publication …
6
(
1999
)
4
,
pp. 33-43
Persistent link: https://www.econbiz.de/10001432450
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7
Market risk and model risk for a financial institution writing options
Figlewski, Stephen
;
Green, Tracy Clifton
-
1998
Persistent link: https://www.econbiz.de/10001352796
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8
Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008
Birru, Justin
;
Figlewski, Stephen
- In:
Journal of financial markets
15
(
2012
)
2
,
pp. 151-180
Persistent link: https://www.econbiz.de/10009614494
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9
Modeling the dynamics of correlations among implied volatilities
Engle, Robert F.
;
Figlewski, Stephen
- In:
Review of finance : journal of the European Finance …
19
(
2015
)
3
,
pp. 991-1018
Persistent link: https://www.econbiz.de/10011405161
Saved in:
10
Volatility leadership among index options
Figlewski, Stephen
;
Frommherz, Anja
- In:
The journal of derivatives : the official publication …
25
(
2017
)
2
,
pp. 43-60
Persistent link: https://www.econbiz.de/10011941221
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