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Ad-Hoc Black-Scholes vis-à-vis TSRV-based Black-Scholes : evidence from Indian options market

Dixit, Alok; Singh, Shivam - In: Journal of quantitative economics 16 (2018) 1, pp. 57-88

Persistent link: https://www.econbiz.de/10012418326

Pricing and hedging competitiveness of the tree option pricing models : evidence from India

Singh, Vipul Kumar - In: The journal of asset management 17 (2016) 6, pp. 453-475

Persistent link: https://www.econbiz.de/10011648199

Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10010233614

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

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

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

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

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

On general semi-closed-form solutions for VIX derivative pricing

Bacon, Étienne; Bégin, Jean-François; Gauthier, … - In: Quantitative finance 24 (2024) 12, pp. 1875-1882

Persistent link: https://www.econbiz.de/10015196978

On VIX futures in the rough Bergomi model

Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10011905829