Works matching IS 10741240 AND DT 2024 AND VI 31 AND IP 3

Results: 7

Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry.

Published in:

Journal of Derivatives, 2024, v. 31, n. 3, p. 11, doi. 10.3905/jod.2023.1.198

By:

Abasto, Damian F.;
Annis, David H.;
Kust, Mark P.

Publication type:

Article

THE JOURNAL OF DERIVATIVES.

Published in:

Journal of Derivatives, 2024, v. 31, n. 3, p. 1, doi. 10.3905/jod.2024.31.3.001

By:

Pimbley, Joseph M.

Publication type:

Article

American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support.

Published in:

Journal of Derivatives, 2024, v. 31, n. 3, p. 74, doi. 10.3905/jod.2023.1.197

By:

Itkin, Andrey;
Muravey, Dmitry

Publication type:

Article

VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model.

Published in:

Journal of Derivatives, 2024, v. 31, n. 3, p. 50, doi. 10.3905/jod.2023.1.195

By:

Ma, Junmei;
Gong, Jiaxing;
Xu, Wei

Publication type:

Article

Direct Fit for SVI Implied Volatilities.

Published in:

Journal of Derivatives, 2024, v. 31, n. 3, p. 38, doi. 10.3905/jod.2023.1.199

By:

Schadner, Wolfgang

Publication type:

Article

Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models.

Published in:

Journal of Derivatives, 2024, v. 31, n. 3, p. 141, doi. 10.3905/jod.2023.1.192

By:

Guo, Zhiyu;
Augustyniak, Maciej;
Badescu, Alexandru

Publication type:

Article

A Note on Variance Swap Greeks.

Published in:

Journal of Derivatives, 2024, v. 31, n. 3, p. 115, doi. 10.3905/jod.2023.1.196

By:

Kirkby, J. Lars;
Rupprecht, Nathaniel;
Aguilar, Jean-Philippe

Publication type:

Article