Chance, Don M.; Hanson, Thomas A.; Li, Weiping; Muthuswamy, Jayaram A bias in the volatility smile. (English) Zbl 1417.91494 Rev. Deriv. Res. 20, No. 1, 47-90 (2017). MSC: 91G20 PDFBibTeX XMLCite \textit{D. M. Chance} et al., Rev. Deriv. Res. 20, No. 1, 47--90 (2017; Zbl 1417.91494) Full Text: DOI
Itkin, Andrey; Lipton, Alexander Structural default model with mutual obligations. (English) Zbl 1417.91556 Rev. Deriv. Res. 20, No. 1, 15-46 (2017). MSC: 91G60 91G20 65M06 PDFBibTeX XMLCite \textit{A. Itkin} and \textit{A. Lipton}, Rev. Deriv. Res. 20, No. 1, 15--46 (2017; Zbl 1417.91556) Full Text: DOI arXiv
Veestraeten, Dirk On the multiplicity of option prices under CEV with positive elasticity of variance. (English) Zbl 1417.91515 Rev. Deriv. Res. 20, No. 1, 1-13 (2017). MSC: 91G20 PDFBibTeX XMLCite \textit{D. Veestraeten}, Rev. Deriv. Res. 20, No. 1, 1--13 (2017; Zbl 1417.91515) Full Text: DOI