A lattice model for option pricing under GARCH-jump processes.
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- Review of Derivatives Research, 2013, v. 16, n. 3, p. 295, doi. 10.1007/s11147-012-9087-8
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- Publication type:
- Article
Works matching IS 13806645 AND DT 2013 AND VI 16 AND IP 3
Results: 4
1
2
Local volatility of volatility for the VIX market.
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- Review of Derivatives Research, 2013, v. 16, n. 3, p. 267, doi. 10.1007/s11147-012-9086-9
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- Publication type:
- Article
3
Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices.
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- Review of Derivatives Research, 2013, v. 16, n. 3, p. 233, doi. 10.1007/s11147-012-9085-x
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- Publication type:
- Article
4
Capital adequacy rules, catastrophic firm failure, and systemic risk.
- Published in:
- Review of Derivatives Research, 2013, v. 16, n. 3, p. 219, doi. 10.1007/s11147-013-9088-2
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- Publication type:
- Article