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A comparison of pricing and hedging performances of equity derivatives models
Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137
Persistent link: https://www.econbiz.de/10011848262
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Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
Benk, Janos; Pflüger, Dirk - In: The journal of computational finance 21 (2017/2018) 3, pp. 75-104
Persistent link: https://www.econbiz.de/10011848349
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Modelling VIX and VIX derivatives with reducible diffusions
Tong, Zhigang - In: International journal of bonds and derivatives 3 (2017) 2, pp. 153-175
Persistent link: https://www.econbiz.de/10011807776
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Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Applied mathematical finance 24 (2017) 5/6, pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
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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
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Underlying assets distribution in derivatives : the BRIC case
Núñez, José A.; Contreras-Valdez, Mario I.; … - In: Theoretical economics letters 8 (2018) 3, pp. 502-513
Persistent link: https://www.econbiz.de/10011822832
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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
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The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho - In: Journal of econometrics 192 (2016) 1, pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
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Pricing derivatives with fractional volatility
Funahashi, Hideharu - In: International journal of financial engineering 4 (2017) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
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Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme
Shi, Guangping; Liu, Xiaoxing; Tang, Pan - In: Finance research letters 16 (2016), pp. 220-229
Persistent link: https://www.econbiz.de/10011656186