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Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
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The forward smile in local-stochastic volatility models
Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
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Pricing option on commodity futures under string shock
Bisht, Deepak; Laha, Arnab Kumar - 2017
Persistent link: https://www.econbiz.de/10011691532
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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
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Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015
Persistent link: https://www.econbiz.de/10011777512
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Nonparametric model calibration for derivatives
Abergel, Frédéric; Tachet des Combes, Rémy; Zaatour, … - In: Journal of mathematical finance 7 (2017) 3, pp. 571-596
Persistent link: https://www.econbiz.de/10011752333
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Simple robust hedging with nearby contracts
Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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Pure jump models for pricing and hedging VIX derivatives
Li, Jing; Li, Lingfei; Zhang, Gongqiu - In: Journal of economic dynamics & control 74 (2017), pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
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Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Torricelli, Lorenzo - In: Review of derivatives research 19 (2016) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10011742279
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Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Romo, Jacinto Marabel - In: Review of derivatives research 19 (2016) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10011742281