The value of power-related options under spectrally negative Lévy processes.
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- Review of Derivatives Research, 2021, v. 24, n. 2, p. 173, doi. 10.1007/s11147-020-09174-0
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Works matching IS 13806645 AND DT 2021 AND VI 24 AND IP 2
Results: 4
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2
Bayesian estimation of the stochastic volatility model with double exponential jumps.
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- Review of Derivatives Research, 2021, v. 24, n. 2, p. 157, doi. 10.1007/s11147-020-09173-1
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3
A model-free approach to multivariate option pricing.
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- Review of Derivatives Research, 2021, v. 24, n. 2, p. 135, doi. 10.1007/s11147-020-09172-2
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4
The impact of the leverage effect on the implied volatility smile: evidence for the German option market.
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- Review of Derivatives Research, 2021, v. 24, n. 2, p. 95, doi. 10.1007/s11147-020-09171-3
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