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April 2024, Volume 27, Issue 1
- 1-35 Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
by Maik Dierkes & Jan Krupski & Sebastian Schroen & Philipp Sibbertsen - 37-53 Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
by Yuecai Han & Fengtong Zhang - 55-84 Pricing levered warrants under the CEV diffusion model
by Carlos Miguel Glória & José Carlos Dias & Aricson Cruz - 85-111 Martingale defects in the volatility surface and bubble conditions in the underlying
by Philip Stahl & Jérôme Blauth
October 2023, Volume 26, Issue 2
- 135-169 Implied volatility surfaces: a comprehensive analysis using half a billion option prices
by Maxim Ulrich & Lukas Zimmer & Constantin Merbecks - 171-206 Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model
by Frédéric Godin & Ramin Eghbalzadeh & Patrice Gaillardetz
April 2023, Volume 26, Issue 1
- 1-21 Interest rate swaps: a comparison of compounded daily versus discrete reference rates
by Robert Jarrow & Siguang Li - 23-50 Pricing vulnerable basket spread options with liquidity risk
by Ziming Dong & Dan Tang & Xingchun Wang - 51-90 Continuity correction: on the pricing of discrete double barrier options
by Sheng-Feng Luo & Hsin-Chieh Wong - 91-133 Hedging cryptocurrency options
by Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle
October 2022, Volume 25, Issue 3
- 233-281 Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach
by Pakorn Aschakulporn & Jin E. Zhang - 283-291 CMS spread options in quadratic Gaussian model
by Parviz Rakhmonov & Firuz Rakhmonov - 293-314 Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
by Matthias Muck - 315-339 Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index
by Philip Stahl
July 2022, Volume 25, Issue 2
- 109-136 Deep calibration of financial models: turning theory into practice
by Patrick Büchel & Michael Kratochwil & Maximilian Nagl & Daniel Rösch - 137-171 The impact of non-cash collateralization on the over-the-counter derivatives markets
by Kazuhiro Takino - 173-187 Oil futures volatility smiles in 2020: Why the bachelier smile is flatter
by Roza Galeeva & Ehud Ronn - 189-232 A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
by Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang
April 2022, Volume 25, Issue 1
- 1-22 Valuing fade-in options with default risk in Heston–Nandi GARCH models
by Xingchun Wang - 23-46 Optimal exercise of American put options near maturity: A new economic perspective
by Anna Battauz & Marzia De Donno & Janusz Gajda & Alessandro Sbuelz - 47-91 Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
by Zonggang Ma & Chaoqun Ma & Zhijian Wu - 93-107 Economic policy uncertainty and volatility of treasury futures
by Maojun Zhang & Yang Zhao & Jiangxia Nan
October 2021, Volume 24, Issue 3
- 197-220 Idiosyncratic volatility, option-based measures of informed trading, and investor attention
by Hannes Mohrschladt & Judith C. Schneider - 221-241 Mean-variance hedging in the presence of estimation risk
by Wan-Yi Chiu - 243-260 Pricing vulnerable options with jump risk and liquidity risk
by Xingchun Wang - 261-284 Does model complexity improve pricing accuracy? The case of CoCos
by Christian Koziol & Sebastian Weitz
July 2021, Volume 24, Issue 2
- 95-133 The impact of the leverage effect on the implied volatility smile: evidence for the German option market
by A. W. Rathgeber & J. Stadler & S. Stöckl - 135-155 A model-free approach to multivariate option pricing
by Carole Bernard & Oleg Bondarenko & Steven Vanduffel - 157-172 Bayesian estimation of the stochastic volatility model with double exponential jumps
by Jinzhi Li - 173-196 The value of power-related options under spectrally negative Lévy processes
by Jean-Philippe Aguilar
April 2021, Volume 24, Issue 1
- 1-30 Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes
by Gechun Liang & Xingchun Wang - 31-54 Bermudan option in Singapore Savings Bonds
by Kian Guan Lim - 55-77 Diversification with options and structured products
by Shuonan Yuan & Marc Oliver Rieger - 79-94 Uncertain strike lookback options pricing with floating interest rate
by Lidong Zhang & Yanmei Sun & Ziping Du & Xiangbo Meng
October 2020, Volume 23, Issue 3
- 227-247 Portfolio construction using bootstrapping neural networks: evidence from global stock market
by Hsiao-Fen Hsiao & Jiang-Chuan Huang & Zheng-Wei Lin - 249-272 A note on options and bubbles under the CEV model: implications for pricing and hedging
by José Carlos Dias & João Pedro Vidal Nunes & Aricson Cruz - 273-322 Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
by Patrick Büchel & Michael Kratochwil & Daniel Rösch - 323-355 Option-implied information: What’s the vol surface got to do with it?
by Maxim Ulrich & Simon Walther
July 2020, Volume 23, Issue 2
- 121-144 The global minimum variance hedge
by Wan-Yi Chiu - 145-161 A generalization of option pricing to price-limit markets
by Jia-Hau Guo & Lung-Fu Chang - 163-190 Approaching rainfall-based weather derivatives pricing and operational challenges
by Andrea Martínez Salgueiro & Maria-Antonia Tarrazon-Rodon - 191-226 Yield curves from different bond data sets
by Antonio Díaz & Francisco Jareño & Eliseo Navarro
April 2020, Volume 23, Issue 1
- 1-39 Towards a $$\Delta $$Δ-Gamma Sato multivariate model
by Lynn Boen & Florence Guillaume - 41-61 Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
by Ana M. Monteiro & Antonio A. F. Santos - 63-83 Valuing American-style options under the CEV model: an integral representation based method
by Aricson Cruz & José Carlos Dias - 85-119 Time consistent pricing of options with embedded decisions
by G. Dorfleitner & J. Gerer
October 2019, Volume 22, Issue 3
- 357-387 Implied risk aversion: an alternative rating system for retail structured products
by H. Fink & S. Geissel & J. Sass & F. T. Seifried - 389-418 Empirical performance of reduced-form models for emission permit prices
by Steffen Hitzemann & Marliese Uhrig-Homburg - 419-447 Valuation of an option using non-parametric methods
by Shu Ling Chiang & Ming Shann Tsai - 449-474 Option-implied Value-at-Risk and the cross-section of stock returns
by Manuel Ammann & Alexander Feser
July 2019, Volume 22, Issue 2
- 203-259 Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe
by Benjamin Hippert & André Uhde & Sascha Tobias Wengerek - 261-327 Dissecting the tracking performance of regular and leveraged VIX ETPs
by Hongfei Tang & Xiaoqing Eleanor Xu - 329-355 Pricing cross-currency interest rate swaps under the Levy market model
by Ming-Chieh Wang & Li-Jhang Huang
April 2019, Volume 22, Issue 1
- 1-40 A general closed form option pricing formula
by Ciprian Necula & Gabriel Drimus & Walter Farkas - 41-75 Pricing VIX derivatives with free stochastic volatility model
by Wei Lin & Shenghong Li & Shane Chern & Jin E. Zhang - 77-167 Pricing and risk of swing contracts in natural gas markets
by Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher - 169-201 Is trading in the shortest-term index options profitable?
by Ging-Ginq Pan & Yung-Ming Shiu & Tu-Cheng Wu
October 2018, Volume 21, Issue 3
- 253-276 The pricing kernel puzzle in forward looking data
by Horatio Cuesdeanu & Jens Carsten Jackwerth - 277-305 GARCH option pricing models with Meixner innovations
by Matthias R. Fengler & Alexander Melnikov - 307-329 Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
by Yu-Sheng Lai - 331-374 An empirical investigation of large trader market manipulation in derivatives markets
by Robert Jarrow & Scott Fung & Shih-Chuan Tsai
July 2018, Volume 21, Issue 2
- 149-173 Risk-adjusted option-implied moments
by Felix Brinkmann & Olaf Korn - 175-199 Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
by Johannes Gerer & Gregor Dorfleitner - 201-229 The volatility target effect in structured investment products with capital protection
by Sergio Albeverio & Victoria Steblovskaya & Kai Wallbaum - 231-252 Pricing exotic options in a regime switching economy: a Fourier transform method
by Peter Hieber
April 2018, Volume 21, Issue 1
- 1-43 A multivariate stochastic volatility model with applications in the foreign exchange market
by Marcos Escobar & Christoph Gschnaidtner - 45-61 Did crisis alter trading of two major oil futures markets?
by Iman Adeinat & Naseem Al Rahahleh & Peihwang Wei - 63-118 The determinants of CDS spreads: evidence from the model space
by Matthias Pelster & Johannes Vilsmeier - 119-148 Tempered stable structural model in pricing credit spread and credit default swap
by Sung Ik Kim & Young Shin Kim
October 2017, Volume 20, Issue 3
- 203-229 A unified approach for the pricing of options relating to averages
by Hideharu Funahashi & Masaaki Kijima - 231-254 Profitability patterns in the interest rate derivatives market
by Ralf Meyer - 255-280 Pricing double barrier options under a volatility regime-switching model with psychological barriers
by Shiyu Song & Yongjin Wang - 281-308 The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
by Antje Mahayni & Matthias Muck
July 2017, Volume 20, Issue 2
- 91-133 Rainbow trend options: valuation and applications
by Jr-Yan Wang & Hsiao-Chuan Wang & Yi-Chen Ko & Mao-Wei Hung - 135-165 A four-factor stochastic volatility model of commodity prices
by Max F. Schöne & Stefan Spinler - 167-202 Implied volatility and skewness surface
by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap
April 2017, Volume 20, Issue 1
- 1-13 On the multiplicity of option prices under CEV with positive elasticity of variance
by Dirk Veestraeten - 15-46 Structural default model with mutual obligations
by Andrey Itkin & Alexander Lipton - 47-90 A bias in the volatility smile
by Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy
October 2016, Volume 19, Issue 3
- 165-200 Stochastic covariance and dimension reduction in the pricing of basket options
by Marcos Escobar & Daniel Krause & Rudi Zagst - 201-216 On exact pricing of FX options in multivariate time-changed Lévy models
by Roman V. Ivanov & Katsunori Ano
July 2016, Volume 19, Issue 2
- 85-111 Minimum return guarantees, investment caps, and investment flexibility
by Antje Mahayni & Judith C. Schneider - 113-146 Migrate or not? The effects of regulation SHO on options trading activities
by Yubin Li & Chen Zhao & Zhaodong Zhong - 147-164 Option pricing model with sentiment
by Chunpeng Yang & Bin Gao & Jianlei Yang
October 2015, Volume 18, Issue 3
- 191-224 Do correlated defaults matter for CDS premia? An empirical analysis
by Christian Koziol & Philipp Koziol & Thomas Schön - 225-261 Do CDS spreads move with commonality in liquidity?
by Christian Meine & Hendrik Supper & Gregor Weiß - 263-289 A copula-based approach for generating lattices
by Tianyang Wang & James Dyer & Warren Hahn - 291-300 A note on the pricing of multivariate contingent claims under a transformed-gamma distribution
by Luiz Vitiello & Ivonia Rebelo
July 2015, Volume 18, Issue 2
- 95-106 The valuation and information content of options on crude-oil futures contracts
by Finbarr Murphy & Ehud Ronn - 107-143 Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option
by Andreas Rathgeber & David Rudolph & Stefan Stöckl - 145-188 The valuation of forward-start rainbow options
by Chun-Ying Chen & Hsiao-Chuan Wang & Jr-Yan Wang - 189-189 Erratum to: The valuation of forward-start rainbow options
by Chun-Ying Chen & Hsiao-Chuan Wang & Jr-Yan Wang
April 2015, Volume 18, Issue 1
- 1-27 Market making and risk management in options markets
by Naomi Boyd - 29-50 On pricing options with stressed-beta in a reduced form model
by Geonwoo Kim & Hyuncheul Lim & Sungchul Lee - 51-73 Are put-call ratios a substitute for short sales?
by Benjamin Blau & Tyler Brough - 75-93 Commodity derivative valuation under a factor model with time-varying market prices of risk
by Andrés Mirantes & Javier Población & Gregorio Serna
October 2014, Volume 17, Issue 3
- 261-286 An overview of the valuation of collateralized derivative contracts
by Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud - 287-321 The impact of quantitative easing on the US term structure of interest rates
by Robert Jarrow & Hao Li - 323-353 The effects of corporate governance and accounting rule changes on derivatives usage
by Ching-Lung Chen & Hung-Shu Fan & Ya-Ming Yang
July 2014, Volume 17, Issue 2
- 125-159 A closed-form solution for options with ambiguity about stochastic volatility
by Gonçalo Faria & João Correia-da-Silva - 161-189 Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
by Ron Chan & Simon Hubbert - 191-216 Efficiently pricing double barrier derivatives in stochastic volatility models
by Marcos Escobar & Peter Hieber & Matthias Scherer - 217-239 The price discovery of day trading activities in futures market
by Ming-Hsien Chen & Vivian Tai - 241-259 Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
by Luiz Vitiello & Ser-Huang Poon
April 2014, Volume 17, Issue 1
- 1-37 An analytical approach for systematic risk sensitivity of structured finance products
by Arndt Claußen & Sebastian Löhr & Daniel Rösch - 39-78 Does modeling framework matter? A comparative study of structural and reduced-form models
by Yalin Gündüz & Marliese Uhrig-Homburg - 79-111 Pricing average options under time-changed Lévy processes
by Akira Yamazaki - 113-124 Path-dependent game options: a lookback case
by Peidong Guo & Qihong Chen & Xicai Guo & Yue Fang
October 2013, Volume 16, Issue 3
- 219-231 Capital adequacy rules, catastrophic firm failure, and systemic risk
by Robert Jarrow - 233-266 Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices
by Costas Siriopoulos & Athanasios Fassas - 267-293 Local volatility of volatility for the VIX market
by Gabriel Drimus & Walter Farkas - 295-329 A lattice model for option pricing under GARCH-jump processes
by Bing-Huei Lin & Mao-Wei Hung & Jr-Yan Wang & Ping-Da Wu
July 2013, Volume 16, Issue 2
- 111-134 New solvable stochastic volatility models for pricing volatility derivatives
by Andrey Itkin - 135-165 The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
by Susanne Griebsch - 167-191 Valuation of American partial barrier options
by Doobae Jun & Hyejin Ku - 193-217 How fair-value accounting can influence firm hedging
by Leif Beisland & Dennis Frestad
April 2013, Volume 16, Issue 1
- 1-23 The performance of model based option trading strategies
by Bjørn Eraker - 25-52 The αVG model for multivariate asset pricing: calibration and extension
by Florence Guillaume - 53-77 Parametric modeling of implied smile functions: a generalized SVI model
by Bo Zhao & Stewart Hodges - 79-110 On the primal-dual algorithm for callable Bermudan options
by Maximilian Mair & Jan Maruhn
October 2012, Volume 15, Issue 3
- 193-216 The value of tradeability
by Marc Chesney & Alexander Kempf - 217-256 Joint econometric modeling of spot electricity prices, forwards and options
by Alain Monfort & Olivier Féron - 257-281 Liquidity and CDS premiums on European companies around the Subprime crisis
by Clothilde Lesplingart & Christophe Majois & Mikael Petitjean
July 2012, Volume 15, Issue 2
- 99-128 Unifying exotic option closed formulas
by Carlos Veiga & Uwe Wystup & Manuel Esquível - 129-156 Equilibrium exercise of European warrants
by Nikunj Kapadia & Gregory Willette - 157-192 Analytical pricing of American options
by Jun Cheng & Jin Zhang
April 2012, Volume 15, Issue 1
- 1-23 A call on art investments
by Roman Kraeussl & Christian Wiehenkamp - 25-56 Delta-hedging correlation risk?
by Areski Cousin & Stéphane Crépey & Yu Kan - 57-79 Calibration risk: Illustrating the impact of calibration risk under the Heston model
by Florence Guillaume & Wim Schoutens - 81-97 Option pricing and hedging under a stochastic volatility Lévy process model
by Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev
October 2011, Volume 14, Issue 3
- 263-282 The β-variance gamma model
by Wim Schoutens & Geert Damme - 283-332 American options and callable bonds under stochastic interest rates and endogenous bankruptcy
by João Nunes - 333-347 A remark on static hedging of options written on the last exit time
by Yuri Imamura - 349-367 A recombining lattice option pricing model that relaxes the assumption of lognormality
by Dasheng Ji & B. Brorsen
July 2011, Volume 14, Issue 2
- 115-116 Guest editorial: Special issue on hedge funds
by Vikas Agarwal - 117-135 The financial crisis and hedge fund returns
by Nicolas Bollen - 137-167 The option CAPM and the performance of hedge funds
by Antonio Diez de los Rios & René Garcia - 169-204 Corporate governance and hedge fund activism
by Nicole Boyson & Robert Mooradian - 205-239 Manager fee contracts and managerial incentives
by Gong Zhan - 241-261 The role of hedge funds as primary lenders
by Vikas Agarwal & Costanza Meneghetti
April 2011, Volume 14, Issue 1
- 1-36 Modelling default contagion using multivariate phase-type distributions
by Alexander Herbertsson - 37-65 A binomial approximation for two-state Markovian HJM models
by Massimo Costabile & Ivar Massabó & Emilio Russo - 67-83 Foreign currency bubbles
by Robert Jarrow & Philip Protter - 85-114 Tractable hedging with additional hedge instruments
by Nicole Branger & Antje Mahayni
October 2010, Volume 13, Issue 3
- 219-244 Pricing distressed CDOs with stochastic recovery
by Stephan Höcht & Rudi Zagst - 245-272 A comparison of single factor Markov-functional and multi factor market models
by Raoul Pietersz & Antoon Pelsser - 273-295 The cost of operational risk loss insurance
by Robert Jarrow & Jeff Oxman & Yildiray Yildirim - 297-332 Equilibrium preference free pricing of derivatives under the generalized beta distributions
by Masayuki Ikeda
July 2010, Volume 13, Issue 2
- 101-124 An empirical analysis of alternative recovery risk models and implied recovery rates
by Frank Zhang - 125-140 A forward started jump-diffusion model and pricing of cliquet style exotics
by Gabriel Drimus - 141-176 Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
by Andrey Itkin & Peter Carr - 177-217 A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
by Minqiang Li
April 2010, Volume 13, Issue 1
- 1-24 A fast Fourier transform technique for pricing American options under stochastic volatility
by Oleksandr Zhylyevskyy - 25-43 Convenience yields
by Robert Jarrow - 45-73 Exchange option pricing under stochastic volatility: a correlation expansion
by F. Antonelli & A. Ramponi & S. Scarlatti - 75-99 Analytical approximations for the critical stock prices of American options: a performance comparison
by Minqiang Li
October 2009, Volume 12, Issue 3
- 169-191 Microstructural biases in empirical tests of option pricing models
by Patrick Dennis & Stewart Mayhew - 193-211 Auto-static for the people: risk-minimizing hedges of barrier options
by Johannes Siven & Rolf Poulsen - 213-230 A tale of two volatilities
by Dilip Madan
July 2009, Volume 12, Issue 2
- 81-107 A general framework for the derivation of asset price bounds: an application to stochastic volatility option models
by Oleg Bondarenko & Iñaki Longarela - 109-139 The smirk in the S&P500 futures options prices: a linearized factor analysis
by Andrew Carverhill & Terry Cheuk & Sigurd Dyrting - 141-167 Asset pricing under information with stochastic volatility
by Bertram Düring
April 2009, Volume 12, Issue 1
- 1-2 Preface
by Peter Bank & Aleš Černý - 3-27 Quadratic hedging in affine stochastic volatility models
by Jan Kallsen & Richard Vierthauer - 29-53 Dynamic programming and mean-variance hedging with partial execution risk
by Koichi Matsumoto - 55-79 Option market making under inventory risk
by Sasha Stoikov & Mehmet Sağlam
October 2008, Volume 11, Issue 3
- 171-204 Distressed debt prices and recovery rate estimation
by Xin Guo & Robert Jarrow & Haizhi Lin - 205-244 The cross-section of average delta-hedge option returns under stochastic volatility
by Alfredo Ibáñez - 245-276 Leverage, options liabilities, and corporate bond pricing
by Hongming Huang & Yildiray Yildirim
March 2008, Volume 11, Issue 1
- 1-39 Making the best of best-of
by Tristan Guillaume - 41-59 Stock options and managers’ incentives to cheat
by Marc Chesney & Rajna Gibson - 61-81 Testing the martingale restriction for option implied densities
by Thomas Busch - 83-118 Adaptive placement method on pricing arithmetic average options
by Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei - 119-151 On improving the least squares Monte Carlo option valuation method
by Nelson Areal & Artur Rodrigues & Manuel Armada - 153-169 Single name credit default swaptions meet single sided jump models
by Henrik Jönsson & Wim Schoutens
December 2007, Volume 10, Issue 3
- 205-225 A model of discontinuous interest rate behavior, yield curves, and volatility
by Steven Heston - 227-267 Discount curve construction with tension splines
by Leif Andersen
May 2007, Volume 10, Issue 2
- 87-150 A new approach for option pricing under stochastic volatility
by Peter Carr & Jian Sun - 151-180 Option pricing when correlations are stochastic: an analytical framework
by José Fonseca & Martino Grasselli & Claudio Tebaldi - 181-204 Tax liens: a novel application of asset pricing theory
by Robert Jarrow & Vikrant Tyagi
January 2007, Volume 10, Issue 1
- 1-38 Determinants of S&P 500 index option returns
by Charles Cao & Jing-Zhi Huang - 39-58 The valuation of a firm’s investment opportunities: a reduced form credit risk perspective
by R. Jarrow & A. Purnanandam - 59-85 Modelling jumps in electricity prices: theory and empirical evidence
by Jan Seifert & Marliese Uhrig-Homburg
November 2006, Volume 9, Issue 3
- 187-212 Fourier transformation and the pricing of average-rate derivatives
by Nengjiu Ju & Rui Zhong - 213-237 Two-dimensional risk-neutral valuation relationships for the pricing of options
by Guenter Franke & James Huang & Richard Stapleton - 239-264 Static versus dynamic hedges: an empirical comparison for barrier options
by Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner
September 2006, Volume 9, Issue 2
- 109-135 Model misspecification analysis for bond options and Markovian hedging strategies
by Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay - 137-165 Valuation of vulnerable American options with correlated credit risk
by Lung-Fu Chang & Mao-Wei Hung - 167-186 Seasonal and stochastic effects in commodity forward curves
by Svetlana Borovkova & Helyette Geman
January 2006, Volume 9, Issue 1
- 1-35 Calibration and hedging under jump diffusion
by C. He & J. Kennedy & T. Coleman & P. Forsyth & Y. Li & K. Vetzal - 37-65 Price discovery in the U.S. stock and stock options markets: A portfolio approach
by Richard Holowczak & Yusif Simaan & Liuren Wu - 67-105 Valuing reload options
by Jonathan Ingersoll
December 2005, Volume 8, Issue 3
- 129-150 An empirical comparison of GARCH option pricing models
by K. Hsieh & P. Ritchken - 151-175 Stochastic dividend yields and derivatives pricing in complete markets
by Abraham Lioui - 177-198 The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets
by James Doran & Ehud Ronn
August 2005, Volume 8, Issue 2
- 67-83 Options with Constant Underlying Elasticity in Strikes
by Lloyd Blenman & Steven Clark - 85-95 On the Upper Bound of a Call Option
by John Handley - 97-123 Option Prices Under Generalized Pricing Kernels
by Bertram Düring & Erik Lüders
June 2005, Volume 8, Issue 1
- 5-25 A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
by Vicky Henderson & David Hobson & Sam Howison & Tino Kluge