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
- By:
- Publication type:
- Article
Works matching IS 10741240 AND DT 2024 AND VI 31 AND IP 4
Results: 7
1
2
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
3
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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- Publication type:
- Article
4
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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- Publication type:
- Article
5
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
6
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
7
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
- By:
- Publication type:
- Article