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Corrections in Heston model derivations for bond options

Mandal, Satrajit; Bhattacharya, Sujoy - In: International journal of bonds and derivatives 4 (2018) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012253419

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585

Does model misspecification matter for hedging? : a computational finance experiment based approach

Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011403136

Hedging of options in the presence of jump clustering

Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35

Persistent link: https://www.econbiz.de/10011988188

Optimal delta hedging for options

Hull, John; White, Alan - In: Journal of banking & finance 82 (2017), pp. 180-190

Persistent link: https://www.econbiz.de/10011816799

Exploring option pricing and hedging via volatility asymmetry

Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039

Persistent link: https://www.econbiz.de/10012543248

Quadratic hedging strategies for volatility swaps

Wang, Xingchun; Fu, Jianping; Wang, Guanying; Wang, Yongjin - In: Finance research letters 15 (2015), pp. 125-132

Persistent link: https://www.econbiz.de/10011553014

Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Lundbeck Option Call Option Contract Using the Brownian Motion

Guirguis, Michel - 2019

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using … the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black … and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility …

Persistent link: https://www.econbiz.de/10012890737

Subleading correction to the Asian options volatility in the black-scholes model

Pirjol, Dan - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-19

Persistent link: https://www.econbiz.de/10014365668

A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives

Kim, Donghyun; Ha, Mijin; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: The quarterly review of economics and finance 97 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015188448