The following pages link to Review of Derivatives Research (Q244006):
Displaying 50 items.
- A copula-based approach for generating lattices (Q315036) (← links)
- A note on the pricing of multivariate contingent claims under a transformed-gamma distribution (Q315039) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (Q315043) (← links)
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045) (← links)
- Minimum return guarantees, investment caps, and investment flexibility (Q315106) (← links)
- Option pricing model with sentiment (Q315109) (← links)
- Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
- On exact pricing of FX options in multivariate time-changed Lévy models (Q345721) (← links)
- The leverage effect puzzle: the case of European sovereign credit default swap market (Q345723) (← links)
- Exact solutions for bond and option prices with systematic jump risk (Q375236) (← links)
- The valuation and behavior of Black-Scholes options subject to intertemporal default risk (Q375238) (← links)
- An alternative approach to the valuation of American options and applications (Q375241) (← links)
- On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245) (← links)
- Option pricing using a binomial model with random time steps (A formal model of gamma hedging) (Q375247) (← links)
- Index-option pricing with stochastic volatility and the value of accurate variance forecasts (Q375251) (← links)
- Valuing foreign exchange rate derivatives with a bounded exchange process (Q375253) (← links)
- American stochastic volatility call option pricing: a lattice based approach (Q375256) (← links)
- Discrete-time bond and option pricing for jump-diffusion processes (Q375257) (← links)
- American bond option pricing in one-factor dynamic term structure models (Q375259) (← links)
- A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
- Heterogeneity and option pricing (Q375315) (← links)
- Option bounds and the pricing of the volatility smile (Q375316) (← links)
- Credit events and the valuation of credit derivatives of basket type (Q375319) (← links)
- Valuation of a credit swap of the basket type (Q375320) (← links)
- Efficient option replication in the presence of transactions costs (Q375322) (← links)
- Dynamic volatility trading strategies in the currency option market (Q375324) (← links)
- Tighter option bounds from multiple exercise prices (Q375326) (← links)
- Effects of callable feature on early exercise policy (Q375328) (← links)
- Variable purchase options (Q375330) (← links)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (Q375333) (← links)
- Drift estimation of generalized security price processes from high frequency derivative prices (Q375335) (← links)
- Dividend forecast biases in index option valuation (Q375338) (← links)
- Options markets, self-fulfilling prophecies, and implied volatilities (Q375353) (← links)
- Optimal investment and production decisions and the value of the firm (Q375357) (← links)
- The effects of newly listed derivatives in a thin stock market (Q375360) (← links)
- On Cox processes and credit risky securities (Q375362) (← links)
- Pricing the risks of default (Q375364) (← links)
- Term structure modelling of defaultable bonds (Q375366) (← links)
- Estimating the term structures of corporate debt (Q375368) (← links)
- Pricing of swaps with default risk (Q375369) (← links)
- Stock index dynamics and derivatives pricing with stochastic interest rates (Q375371) (← links)
- Pricing of non-redundant derivatives in a complete market (Q375374) (← links)
- Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models (Q375376) (← links)
- Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach (Q375469) (← links)
- An extended set of risk neutral valuation relationships for the pricing of contingent claims (Q375471) (← links)
- A refined binomial lattice for pricing American Asian options (Q375476) (← links)
- A universal lattice (Q375479) (← links)
- Minimum option prices under decreasing absolute risk aversion (Q375481) (← links)
- Stochastic duration and fast coupon bond option pricing in multi-factor models (Q375483) (← links)
