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Compound option pricing under stochastic volatility
Leccadito, Arturo; Russo, Emilio - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 97-110
Persistent link: https://www.econbiz.de/10011742310
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Hedging derivative securities with volatility futures
Yap, Nelson; Lim, Kian-Guan; Zhao, Yibao - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 111-127
Persistent link: https://www.econbiz.de/10011742311
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Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models
Pajor, Anna - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 189-211
Persistent link: https://www.econbiz.de/10011742315
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Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777909
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A comparison of option pricing models
Dastranj, Elham; Latifi, Roghaye - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-11
Persistent link: https://www.econbiz.de/10011778265
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Freight derivatives pricing for decoupled mean-reverting diffusion and jumps
Kyriakou, Ioannis; Pouliasis, Panos K.; Papapostolou, … - In: Transportation research / E : an international journal 108 (2017), pp. 80-96
Persistent link: https://www.econbiz.de/10011781992
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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Using VIX futures to hedge forward implied volatility risk
Lin, Yueh-neng; Lin, Anchor Y. - In: International review of economics & finance : IREF 43 (2016), pp. 88-106
Persistent link: https://www.econbiz.de/10011625539
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Insiders' hedging in a stochastic volatility model
Park, Sang-Hyeon; Lee, Kiseop - In: IMA journal of management mathematics 27 (2016) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011567200
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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 4, pp. 973-1020
Persistent link: https://www.econbiz.de/10011570202