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On cash settled IRR-swaptions and Markov functional modeling
Bermin, Hans-Peter; Williams, Gareth - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011686834
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023
Persistent link: https://www.econbiz.de/10014366655
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Interest rate convexity and the volatility smile
Boenkost, Wolfram; Schmidt, Wolfgang M. - 2006
When pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one … problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes …
Persistent link: https://www.econbiz.de/10011293935
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The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo; Putyatin, Vladislav - In: Quantitative finance 18 (2018) 1, pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
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A generalized algorithm for duration and convexity of option embedded bonds
Homaifar, Ghassem; Michello, Frank A. - In: Applied economics letters 26 (2019) 10, pp. 835-842
Persistent link: https://www.econbiz.de/10012204397
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W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul; Pirjol, Dan - In: Quantitative finance 23 (2023) 4, pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
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On Cox processes and credit risky securities
Lando, David - In: Review of derivatives research 2 (1998) 2/3, pp. 99-120
Persistent link: https://www.econbiz.de/10001497926
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Minimal entropy martingale measures of jump type price processes in incomplete assets markets
Miyahara, Yoshio - In: Asia-Pacific financial markets 6 (1999) 2, pp. 97-113
Persistent link: https://www.econbiz.de/10001449305
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Convergence of arbitrage-free discrete time Markovian market models
Leitner, Johannes - 2000
Persistent link: https://www.econbiz.de/10001450616