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Editor's Letter.
- Published in:
- Journal of Derivatives, 2024, v. 31, n. 4, p. 1, doi. 10.3905/jod.2024.31.4.001
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- Publication type:
- Article
Exploiting the Gap Between Implied and Realized Volatility.
- Published in:
- Journal of Derivatives, 2024, v. 31, n. 4, p. 12, doi. 10.3905/jod.2024.1.202
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- Publication type:
- Article
Implied Willow Tree.
- Published in:
- Journal of Derivatives, 2024, v. 31, n. 4, p. 44, doi. 10.3905/jod.2024.1.200
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- Article
LIBOR Reform: Option Pricing for Compounded Rates.
- Published in:
- Journal of Derivatives, 2024, v. 31, n. 4, p. 75, doi. 10.3905/jod.2024.1.205
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- Article
Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation.
- Published in:
- Journal of Derivatives, 2024, v. 31, n. 4, p. 98, doi. 10.3905/jod.2024.1.203
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- Article
Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections.
- Published in:
- Journal of Derivatives, 2024, v. 31, n. 4, p. 126, doi. 10.3905/jod.2024.1.204
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- Publication type:
- Article
Inferring the Implied Volatility of SOFR-Based Swaptions.
- Published in:
- Journal of Derivatives, 2024, v. 31, n. 4, p. 157, doi. 10.3905/jod.2024.1.201
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- Publication type:
- Article