Godin, Frédéric; Eghbalzadeh, Ramin; Gaillardetz, Patrice Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model. (English) Zbl 07820577 Rev. Deriv. Res. 26, No. 2-3, 171-206 (2023). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{F. Godin} et al., Rev. Deriv. Res. 26, No. 2--3, 171--206 (2023; Zbl 07820577) Full Text: DOI
Matic, Jovanka Lili; Packham, Natalie; Härdle, Wolfgang Karl Hedging cryptocurrency options. (English) Zbl 07820575 Rev. Deriv. Res. 26, No. 1, 91-133 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{J. L. Matic} et al., Rev. Deriv. Res. 26, No. 1, 91--133 (2023; Zbl 07820575) Full Text: DOI arXiv
Zhang, Maojun; Zhao, Yang; Nan, Jiangxia Economic policy uncertainty and volatility of treasury futures. (English) Zbl 1495.91126 Rev. Deriv. Res. 25, No. 1, 93-107 (2022). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{M. Zhang} et al., Rev. Deriv. Res. 25, No. 1, 93--107 (2022; Zbl 1495.91126) Full Text: DOI
Wang, Xingchun Valuing fade-in options with default risk in Heston-Nandi GARCH models. (English) Zbl 1495.91125 Rev. Deriv. Res. 25, No. 1, 1-22 (2022). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{X. Wang}, Rev. Deriv. Res. 25, No. 1, 1--22 (2022; Zbl 1495.91125) Full Text: DOI
Chiu, Wan-Yi Mean-variance hedging in the presence of estimation risk. (English) Zbl 1479.91394 Rev. Deriv. Res. 24, No. 3, 221-241 (2021). MSC: 91G20 PDFBibTeX XMLCite \textit{W.-Y. Chiu}, Rev. Deriv. Res. 24, No. 3, 221--241 (2021; Zbl 1479.91394) Full Text: DOI
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven A model-free approach to multivariate option pricing. (English) Zbl 1470.91270 Rev. Deriv. Res. 24, No. 2, 135-155 (2021). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{C. Bernard} et al., Rev. Deriv. Res. 24, No. 2, 135--155 (2021; Zbl 1470.91270) Full Text: DOI
Díaz, Antonio; Jareño, Francisco; Navarro, Eliseo Yield curves from different bond data sets. (English) Zbl 1451.91205 Rev. Deriv. Res. 23, No. 2, 191-226 (2020). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{A. Díaz} et al., Rev. Deriv. Res. 23, No. 2, 191--226 (2020; Zbl 1451.91205) Full Text: DOI
Monteiro, Ana M.; Santos, Antonio A. F. Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. (English) Zbl 1437.91433 Rev. Deriv. Res. 23, No. 1, 41-61 (2020). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{A. M. Monteiro} and \textit{A. A. F. Santos}, Rev. Deriv. Res. 23, No. 1, 41--61 (2020; Zbl 1437.91433) Full Text: DOI Link
Chiang, Shu Ling; Tsai, Ming Shann Valuation of an option using non-parametric methods. (English) Zbl 1425.91397 Rev. Deriv. Res. 22, No. 3, 419-447 (2019). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{S. L. Chiang} and \textit{M. S. Tsai}, Rev. Deriv. Res. 22, No. 3, 419--447 (2019; Zbl 1425.91397) Full Text: DOI
Fink, Holger; Geissel, Sebastian; Sass, J.; Seifried, F. T. Implied risk aversion: an alternative rating system for retail structured products. (English) Zbl 1425.91432 Rev. Deriv. Res. 22, No. 3, 357-387 (2019). MSC: 91G70 PDFBibTeX XMLCite \textit{H. Fink} et al., Rev. Deriv. Res. 22, No. 3, 357--387 (2019; Zbl 1425.91432) Full Text: DOI
Lin, Wei; Li, Shenghong; Chern, Shane; Zhang, Jin E. Pricing VIX derivatives with free stochastic volatility model. (English) Zbl 1414.91382 Rev. Deriv. Res. 22, No. 1, 41-75 (2019). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{W. Lin} et al., Rev. Deriv. Res. 22, No. 1, 41--75 (2019; Zbl 1414.91382) Full Text: DOI arXiv
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter A general closed form option pricing formula. (English) Zbl 1414.91384 Rev. Deriv. Res. 22, No. 1, 1-40 (2019). MSC: 91G20 30B50 PDFBibTeX XMLCite \textit{C. Necula} et al., Rev. Deriv. Res. 22, No. 1, 1--40 (2019; Zbl 1414.91384) Full Text: DOI
Lai, Yu-Sheng Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (English) Zbl 1405.91633 Rev. Deriv. Res. 21, No. 3, 307-329 (2018). MSC: 91G20 62P05 62H05 62M10 PDFBibTeX XMLCite \textit{Y.-S. Lai}, Rev. Deriv. Res. 21, No. 3, 307--329 (2018; Zbl 1405.91633) Full Text: DOI
Fengler, Matthias R.; Melnikov, Alexander GARCH option pricing models with Meixner innovations. (English) Zbl 1405.91614 Rev. Deriv. Res. 21, No. 3, 277-305 (2018). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{M. R. Fengler} and \textit{A. Melnikov}, Rev. Deriv. Res. 21, No. 3, 277--305 (2018; Zbl 1405.91614) Full Text: DOI Link
Cuesdeanu, Horatio; Jackwerth, Jens Carsten The pricing kernel puzzle in forward looking data. (English) Zbl 1405.91605 Rev. Deriv. Res. 21, No. 3, 253-276 (2018). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{H. Cuesdeanu} and \textit{J. C. Jackwerth}, Rev. Deriv. Res. 21, No. 3, 253--276 (2018; Zbl 1405.91605) Full Text: DOI Link
Kim, Sung Ik; Kim, Young Shin Tempered stable structural model in pricing credit spread and credit default swap. (English) Zbl 1417.91527 Rev. Deriv. Res. 21, No. 1, 119-148 (2018). MSC: 91G40 91G20 60G51 PDFBibTeX XMLCite \textit{S. I. Kim} and \textit{Y. S. Kim}, Rev. Deriv. Res. 21, No. 1, 119--148 (2018; Zbl 1417.91527) Full Text: DOI
Pelster, Matthias; Vilsmeier, Johannes The determinants of CDS spreads: evidence from the model space. (English) Zbl 1404.62110 Rev. Deriv. Res. 21, No. 1, 63-118 (2018). MSC: 62P05 62H05 62F15 91G40 PDFBibTeX XMLCite \textit{M. Pelster} and \textit{J. Vilsmeier}, Rev. Deriv. Res. 21, No. 1, 63--118 (2018; Zbl 1404.62110) Full Text: DOI Link
Brinkmann, Felix; Korn, Olaf Risk-adjusted option-implied moments. (English) Zbl 1417.91493 Rev. Deriv. Res. 21, No. 2, 149-173 (2018). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{F. Brinkmann} and \textit{O. Korn}, Rev. Deriv. Res. 21, No. 2, 149--173 (2018; Zbl 1417.91493) Full Text: DOI Link
Feunou, Bruno; Fontaine, Jean-Sébastien; Tédongap, Roméo Implied volatility and skewness surface. (English) Zbl 1404.62104 Rev. Deriv. Res. 20, No. 2, 167-202 (2017). MSC: 62P05 91G20 62G08 PDFBibTeX XMLCite \textit{B. Feunou} et al., Rev. Deriv. Res. 20, No. 2, 167--202 (2017; Zbl 1404.62104) Full Text: DOI
Kliber, Agata The leverage effect puzzle: the case of European sovereign credit default swap market. (English) Zbl 1349.62529 Rev. Deriv. Res. 19, No. 3, 217-235 (2016). MSC: 62P05 91G40 PDFBibTeX XMLCite \textit{A. Kliber}, Rev. Deriv. Res. 19, No. 3, 217--235 (2016; Zbl 1349.62529) Full Text: DOI
Yang, Chunpeng; Gao, Bin; Yang, Jianlei Option pricing model with sentiment. (English) Zbl 1345.91078 Rev. Deriv. Res. 19, No. 2, 147-164 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{C. Yang} et al., Rev. Deriv. Res. 19, No. 2, 147--164 (2016; Zbl 1345.91078) Full Text: DOI
Wang, Tianyang; Dyer, James S.; Hahn, Warren J. A copula-based approach for generating lattices. (English) Zbl 1345.91077 Rev. Deriv. Res. 18, No. 3, 263-289 (2015). MSC: 91G20 PDFBibTeX XMLCite \textit{T. Wang} et al., Rev. Deriv. Res. 18, No. 3, 263--289 (2015; Zbl 1345.91077) Full Text: DOI Link
Rathgeber, Andreas W.; Rudolph, David; Stöckl, Stefan Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads – an explanation by means of a quanto option. (English) Zbl 1315.91074 Rev. Deriv. Res. 18, No. 2, 107-143 (2015). MSC: 91G70 91G40 62P05 91G30 PDFBibTeX XMLCite \textit{A. W. Rathgeber} et al., Rev. Deriv. Res. 18, No. 2, 107--143 (2015; Zbl 1315.91074) Full Text: DOI
Faria, Gonçalo; Correia-da-Silva, João A closed-form solution for options with ambiguity about stochastic volatility. (English) Zbl 1303.91173 Rev. Deriv. Res. 17, No. 2, 125-159 (2014). MSC: 91G20 PDFBibTeX XMLCite \textit{G. Faria} and \textit{J. Correia-da-Silva}, Rev. Deriv. Res. 17, No. 2, 125--159 (2014; Zbl 1303.91173) Full Text: DOI Link
Itkin, Andrey New solvable stochastic volatility models for pricing volatility derivatives. (English) Zbl 1296.91263 Rev. Deriv. Res. 16, No. 2, 111-134 (2013). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{A. Itkin}, Rev. Deriv. Res. 16, No. 2, 111--134 (2013; Zbl 1296.91263) Full Text: DOI arXiv
Lin, Bing-Huei; Hung, Mao-Wei; Wang, Jr-Yan; Wu, Ping-Da A lattice model for option pricing under GARCH-jump processes. (English) Zbl 1312.91088 Rev. Deriv. Res. 16, No. 3, 295-329 (2013). Reviewer: Carlos Narciso Bouza Herrera (Habana) MSC: 91G20 91G70 91B84 PDFBibTeX XMLCite \textit{B.-H. Lin} et al., Rev. Deriv. Res. 16, No. 3, 295--329 (2013; Zbl 1312.91088) Full Text: DOI
Siriopoulos, Costas; Fassas, Athanasios Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. (English) Zbl 1282.91261 Rev. Deriv. Res. 16, No. 3, 233-266 (2013). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91B82 91G70 PDFBibTeX XMLCite \textit{C. Siriopoulos} and \textit{A. Fassas}, Rev. Deriv. Res. 16, No. 3, 233--266 (2013; Zbl 1282.91261) Full Text: DOI
Zhao, Bo; Hodges, Stewart D. Parametric modeling of implied smile functions: a generalized SVI model. (English) Zbl 1269.91101 Rev. Deriv. Res. 16, No. 1, 53-77 (2013). MSC: 91G70 62P05 91G20 PDFBibTeX XMLCite \textit{B. Zhao} and \textit{S. D. Hodges}, Rev. Deriv. Res. 16, No. 1, 53--77 (2013; Zbl 1269.91101) Full Text: DOI
Monfort, Alain; Féron, Olivier Joint econometric modeling of spot electricity prices, forwards and options. (English) Zbl 1256.91038 Rev. Deriv. Res. 15, No. 3, 217-256 (2012). MSC: 91B84 91B25 62P05 PDFBibTeX XMLCite \textit{A. Monfort} and \textit{O. Féron}, Rev. Deriv. Res. 15, No. 3, 217--256 (2012; Zbl 1256.91038) Full Text: DOI Link
Diez de los Rios, Antonio; Garcia, René The option CAPM and the performance of hedge funds. (English) Zbl 1231.91108 Rev. Deriv. Res. 14, No. 2, 137-167 (2011). MSC: 91B25 62P05 91G10 PDFBibTeX XMLCite \textit{A. Diez de los Rios} and \textit{R. Garcia}, Rev. Deriv. Res. 14, No. 2, 137--167 (2011; Zbl 1231.91108) Full Text: DOI
Ikeda, Masayuki Equilibrium preference free pricing of derivatives under the generalized beta distributions. (English) Zbl 1213.91155 Rev. Deriv. Res. 13, No. 3, 297-332 (2010). MSC: 91G20 PDFBibTeX XMLCite \textit{M. Ikeda}, Rev. Deriv. Res. 13, No. 3, 297--332 (2010; Zbl 1213.91155) Full Text: DOI
Drimus, Gabriel G. A forward started jump-diffusion model and pricing of cliquet style exotics. (English) Zbl 1231.91464 Rev. Deriv. Res. 13, No. 2, 125-140 (2010). MSC: 91G40 PDFBibTeX XMLCite \textit{G. G. Drimus}, Rev. Deriv. Res. 13, No. 2, 125--140 (2010; Zbl 1231.91464) Full Text: DOI
Zhylyevskyy, Oleksandr A fast Fourier transform technique for pricing American options under stochastic volatility. (English) Zbl 1202.91342 Rev. Deriv. Res. 13, No. 1, 1-24 (2010). MSC: 91G60 91G20 65T50 PDFBibTeX XMLCite \textit{O. Zhylyevskyy}, Rev. Deriv. Res. 13, No. 1, 1--24 (2010; Zbl 1202.91342) Full Text: DOI Link
Carverhill, Andrew; Cheuk, Terry H. F.; Dyrting, Sigurd The smirk in the S&P500 futures options prices: a linearized factor analysis. (English) Zbl 1175.91175 Rev. Deriv. Res. 12, No. 2, 109-139 (2009). MSC: 91G20 91B82 91B25 91B84 62P05 62M10 PDFBibTeX XMLCite \textit{A. Carverhill} et al., Rev. Deriv. Res. 12, No. 2, 109--139 (2009; Zbl 1175.91175) Full Text: DOI
Düring, Bertram Asset pricing under information with stochastic volatility. (English) Zbl 1175.91072 Rev. Deriv. Res. 12, No. 2, 141-167 (2009). MSC: 91B25 91G20 91B44 60H30 91B24 PDFBibTeX XMLCite \textit{B. Düring}, Rev. Deriv. Res. 12, No. 2, 141--167 (2009; Zbl 1175.91072) Full Text: DOI Link
Dennis, Patrick; Mayhew, Stewart Microstructural biases in empirical tests of option pricing models. (English) Zbl 1189.91223 Rev. Deriv. Res. 12, No. 3, 169-191 (2009). MSC: 91G70 91G20 PDFBibTeX XMLCite \textit{P. Dennis} and \textit{S. Mayhew}, Rev. Deriv. Res. 12, No. 3, 169--191 (2009; Zbl 1189.91223) Full Text: DOI
Ibáñez, Alfredo The cross-section of average delta-hedge option returns under stochastic volatility. (English) Zbl 1165.91403 Rev. Deriv. Res. 11, No. 3, 205-244 (2008). MSC: 91B28 60H30 PDFBibTeX XMLCite \textit{A. Ibáñez}, Rev. Deriv. Res. 11, No. 3, 205--244 (2008; Zbl 1165.91403) Full Text: DOI
Busch, Thomas Testing the martingale restriction for option implied densities. (English) Zbl 1163.91516 Rev. Deriv. Res. 11, No. 1-2, 61-81 (2008). MSC: 91B82 91B28 PDFBibTeX XMLCite \textit{T. Busch}, Rev. Deriv. Res. 11, No. 1--2, 61--81 (2008; Zbl 1163.91516) Full Text: DOI
Cao, Charles; Huang, Jing-Zhi Determinants of S&P 500 index option returns. (English) Zbl 1151.91698 Rev. Deriv. Res. 10, No. 1, 1-38 (2007). MSC: 91B82 PDFBibTeX XMLCite \textit{C. Cao} and \textit{J.-Z. Huang}, Rev. Deriv. Res. 10, No. 1, 1--38 (2007; Zbl 1151.91698) Full Text: DOI
Carr, Peter; Sun, Jian A new approach for option pricing under stochastic volatility. (English) Zbl 1140.91353 Rev. Deriv. Res. 10, No. 2, 87-150 (2007). MSC: 91B24 91B70 PDFBibTeX XMLCite \textit{P. Carr} and \textit{J. Sun}, Rev. Deriv. Res. 10, No. 2, 87--150 (2007; Zbl 1140.91353) Full Text: DOI
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren Price discovery in the U.S. stock and stock options markets: a portfolio approach. (English) Zbl 1274.91383 Rev. Deriv. Res. 9, No. 1, 37-65 (2006). MSC: 91G10 91G20 PDFBibTeX XMLCite \textit{R. Holowczak} et al., Rev. Deriv. Res. 9, No. 1, 37--65 (2006; Zbl 1274.91383) Full Text: DOI
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R. Calibration and hedging under jump diffusion. (English) Zbl 1274.91414 Rev. Deriv. Res. 9, No. 1, 1-35 (2006). MSC: 91G20 PDFBibTeX XMLCite \textit{C. He} et al., Rev. Deriv. Res. 9, No. 1, 1--35 (2006; Zbl 1274.91414) Full Text: DOI
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter Static versus dynamic hedges: an empirical comparison for barrier options. (English) Zbl 1153.91784 Rev. Deriv. Res. 9, No. 3, 239-264 (2006). MSC: 91B84 91B82 91B28 PDFBibTeX XMLCite \textit{B. Engelmann} et al., Rev. Deriv. Res. 9, No. 3, 239--264 (2006; Zbl 1153.91784) Full Text: DOI
Franke, Guenter; Huang, James; Stapleton, Richard Two-dimensional risk-neutral valuation relationships for the pricing of options. (English) Zbl 1154.91441 Rev. Deriv. Res. 9, No. 3, 213-237 (2006). MSC: 91B28 PDFBibTeX XMLCite \textit{G. Franke} et al., Rev. Deriv. Res. 9, No. 3, 213--237 (2006; Zbl 1154.91441) Full Text: DOI Link
Bossy, Mireille; Gibson, Rajna; Lhabitant, Francois-Serge; Pistre, Nathalie; Talay, Denis Model misspecification analysis for bond options and Markovian hedging strategies. (English) Zbl 1274.91402 Rev. Deriv. Res. 9, No. 2, 109-135 (2006). MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{M. Bossy} et al., Rev. Deriv. Res. 9, No. 2, 109--135 (2006; Zbl 1274.91402) Full Text: DOI Link
Doran, James S.; Ronn, Ehud I. The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets. (English) Zbl 1201.91210 Rev. Deriv. Res. 8, No. 3, 177-198 (2005). MSC: 91G30 91B24 91G80 PDFBibTeX XMLCite \textit{J. S. Doran} and \textit{E. I. Ronn}, Rev. Deriv. Res. 8, No. 3, 177--198 (2005; Zbl 1201.91210) Full Text: DOI
Hsieh, K. C.; Ritchken, P. An empirical comparison of GARCH option pricing models. (English) Zbl 1201.91229 Rev. Deriv. Res. 8, No. 3, 129-150 (2005). MSC: 91G70 91G20 62P05 PDFBibTeX XMLCite \textit{K. C. Hsieh} and \textit{P. Ritchken}, Rev. Deriv. Res. 8, No. 3, 129--150 (2005; Zbl 1201.91229) Full Text: DOI
Lioui, Abraham Stochastic dividend yields and derivatives pricing in complete markets. (English) Zbl 1201.91204 Rev. Deriv. Res. 8, No. 3, 151-175 (2005). MSC: 91G20 91B24 91G30 PDFBibTeX XMLCite \textit{A. Lioui}, Rev. Deriv. Res. 8, No. 3, 151--175 (2005; Zbl 1201.91204) Full Text: DOI
Düring, Bertram; Lüders, Erik Option prices under generalized pricing kernels. (English) Zbl 1108.91039 Rev. Deriv. Res. 8, No. 2, 97-123 (2005). MSC: 91G20 PDFBibTeX XMLCite \textit{B. Düring} and \textit{E. Lüders}, Rev. Deriv. Res. 8, No. 2, 97--123 (2005; Zbl 1108.91039) Full Text: DOI
Kavussanos, Manolis G.; Visvikis, Ilias D.; Menachof, David The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests. (English) Zbl 1074.91011 Rev. Deriv. Res. 7, No. 3, 241-266 (2004). MSC: 91B26 91B24 PDFBibTeX XMLCite \textit{M. G. Kavussanos} et al., Rev. Deriv. Res. 7, No. 3, 241--266 (2004; Zbl 1074.91011) Full Text: DOI
Kavussanos, Manolis G.; Nomikos, Nikos K. Price discovery, causality and forecasting in the freight futures market. (English) Zbl 1074.91531 Rev. Deriv. Res. 6, No. 3, 203-230 (2003). MSC: 91B28 PDFBibTeX XMLCite \textit{M. G. Kavussanos} and \textit{N. K. Nomikos}, Rev. Deriv. Res. 6, No. 3, 203--230 (2003; Zbl 1074.91531) Full Text: DOI
Finucane, Thomas J.; Tomas, Michael J. American stochastic volatility call option pricing: a lattice based approach. (English) Zbl 1274.91411 Rev. Deriv. Res. 1, No. 2, 183-201 (1996). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{T. J. Finucane} and \textit{M. J. Tomas}, Rev. Deriv. Res. 1, No. 2, 183--201 (1996; Zbl 1274.91411) Full Text: DOI
Engle, Robert F.; Kane, Alex; Noh, Jaesun Index-option pricing with stochastic volatility and the value of accurate variance forecasts. (English) Zbl 1274.91410 Rev. Deriv. Res. 1, No. 2, 139-157 (1996). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{R. F. Engle} et al., Rev. Deriv. Res. 1, No. 2, 139--157 (1996; Zbl 1274.91410) Full Text: DOI