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Review of Derivatives Research

Short Title: Rev. Deriv. Res.
Publisher: Springer US, New York, NY
ISSN: 1380-6645; 1573-7144/e
Online: http://link.springer.com/journal/volumesAndIssues/11147
Documents Indexed: 247 Publications (since 1996)
References Indexed: 202 Publications with 6,622 References.
all top 5

Authors

12 Jarrow, Robert Alan
4 Ritchken, Peter H.
4 Wang, Jr-Yan
3 Drimus, Gabriel G.
3 Escobar, Marcos
3 Fengler, Matthias R.
3 Hodges, Stewart D.
3 Huang, James Kuodo
3 Hung, Mao-wei
3 Itkin, Andrey
3 Kijima, Masaaki
3 Madan, Dilip B.
3 Mahayni, Antje
3 Nunes, João Pedro Vidal
3 Pelsser, Antoon A. J.
3 Ronn, Ehud I.
3 Rösch, Daniel
3 Schwartz, Eduardo S.
3 Uhrig-Homburg, Marliese
3 Wang, Xingchun
3 Zhang, Jin E.
2 Andersen, Leif B. G.
2 Bondarenko, Oleg
2 Büchel, Patrick
2 Carr, Peter Paul
2 Chance, Don M.
2 Chang, Lung-Fu
2 Cherian, Joseph A.
2 Chesney, Marc
2 Chiu, Wan-Yi
2 Clewlow, Les
2 Cruz, Aricson
2 Dai, Tian-Shyr
2 Das, Sanjiv Ranjan
2 Dias, José Carlos
2 Dorfleitner, Gregor
2 Düring, Bertram
2 Farkas, Walter
2 Forsyth, Peter A.
2 Gao, Bin
2 Gerer, Johannes
2 Gibson, Rajna
2 Guillaume, Florence
2 Guillaume, Tristan
2 Handley, John C.
2 Hieber, Peter
2 Ingersoll, Jonathan E. jun.
2 Kavussanos, Manolis G.
2 Korn, Olaf
2 Kratochwil, Michael
2 Kwok, Yue-Kuen
2 Li, Minqiang
2 Rathgeber, Andreas W.
2 Rich, Don
2 Schneider, Judith C.
2 Schoutens, Wim
2 Stapleton, Richard C.
2 Stöckl, Stefan
2 Vetzal, Kenneth R.
2 Vitiello, Luiz
2 Wang, Hsiao-Chuan
2 Yildirim, Yildiray
2 Zagst, Rudi
1 Adeinat, Iman
1 Aguilar, Jean-Philippe
1 Ahn, Dong-Hyun
1 Al Rahahleh, Naseem
1 Albeverio, Sergio A.
1 Ammann, Manuel
1 Amzelek, Philippe
1 Andreasen, Jesper
1 Ano, Katsunori
1 Antonelli, Fabio
1 Areal, Nelson
1 Armada, Manuel Rocha
1 Auer, Benjamin R.
1 Battauz, Anna
1 Baule, Rainer
1 Beisland, Leif Atle
1 Benninga, Simon
1 Bernard, Carole L.
1 Bizid, Abdelhamid
1 Blenman, Lloyd P.
1 Boen, Lynn
1 Bonnaud, Joe
1 Borovkova, Svetlana
1 Bossy, Mireille
1 Branger, Nicole
1 Brinkmann, Felix
1 Brorsen, B. Wade
1 Bruand, Martin
1 Bühler, Wolfgang J.
1 Busch, Thomas
1 Camara, Antonio
1 Cao, Charles
1 Carverhill, Andrew P.
1 Cassano, Mark A.
1 Chalasani, Prasad
1 Chan, Ron Tat Lung
1 Chen, Chun-Ying
...and 307 more Authors

Publications by Year

Citations contained in zbMATH Open

159 Publications have been cited 1,422 times in 1,175 Documents Cited by Year
On Cox processes and credit risky securities. Zbl 1274.91459
Lando, David
158
1998
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing. Zbl 1274.91398
Andersen, Leif; Andreasen, Jesper
153
2000
Electricity prices and power derivatives: evidence from the Nordic Power Exchange. Zbl 1064.91508
Lucia, Julio J.; Schwartz, Eduardo S.
108
2002
Pricing the risks of default. Zbl 1274.91426
Madan, Dilip B.; Unal, Haluk
67
1998
Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
65
2007
Option pricing using variance gamma Markov chains. Zbl 1064.91044
Konikov, Mikhail; Madan, Dilip B.
37
2002
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
35
2007
Assessing the least squares Monte-Carlo approach to American option valuation. Zbl 1080.91041
Stentoft, Lars
30
2004
Exact solutions for bond and option prices with systematic jump risk. Zbl 1274.91448
Das, Sanjiv Ranjan; Foresi, Silverio
24
1996
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
23
2010
Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
22
2002
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
22
2006
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Zbl 1059.91047
Moreno, Manuel; Navas, Javier F.
21
2003
Heterogeneity and option pricing. Zbl 1274.91198
Benninga, Simon; Mayshar, Joram
21
2000
The \(\alpha\)VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100
Guillaume, Florence
21
2013
Term structure modelling of defaultable bonds. Zbl 1274.91452
Schönbucher, Philipp J.
17
1998
The dynamics of implied volatilities: a common principal components approach. Zbl 1059.91038
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, Christophe
15
2003
Finite dimensional affine realisations of HJM models in terms of forward rates and yields. Zbl 1037.60069
Chiarella, Carl; Kwon, Oh Kang
15
2003
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
14
2005
Stochastic duration and fast coupon bond option pricing in multi-factor models. Zbl 1274.91431
Munk, Claus
14
1999
Valuation of commodity derivatives in a new multi-factor model. Zbl 1070.91014
Yan, Xuemin
13
2002
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
12
2009
Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311
Antonelli, F.; Ramponi, A.; Scarlatti, S.
12
2010
Lean trees – a general approach for improving performance of lattice models for option pricing. Zbl 1080.91026
Baule, Rainer; Wilkens, Marco
12
2004
Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406
Chang, Lung-Fu; Hung, Mao-Wei
12
2006
A continuous time model to price commodity-based swing options. Zbl 1134.91406
Dahlgren, M.
11
2005
A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342
Zhylyevskyy, Oleksandr
11
2010
The dynamics of the S&P 500 implied volatility surface. Zbl 1274.91488
Skiadopoulos, George; Hodges, Stewart; Clewlow, Les
11
1999
On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377
Areal, Nelson; Rodrigues, Artur; Armada, Manuel R.
11
2008
Pricing average options under time-changed Lévy processes. Zbl 1285.91134
Yamazaki, Akira
11
2014
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189
Chan, Ron Tat Lung; Hubbert, Simon
11
2014
Credit events and the valuation of credit derivatives of basket type. Zbl 1274.91418
Kijima, Masaaki; Muromachi, Yukio
9
2000
Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter
9
2006
New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263
Itkin, Andrey
9
2013
Theory of storage and the pricing of commodity claims. Zbl 1090.91029
Nielsen, Martin J.; Schwartz, Eduardo S.
8
2004
Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140
Herbertsson, Alexander
8
2011
Valuing foreign exchange rate derivatives with a bounded exchange process. Zbl 1274.91415
Ingersoll, Jonathan E. jun.
8
1996
Valuation of a credit swap of the basket type. Zbl 1274.91417
Kijima, Masaaki
8
2000
Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401
Borovkova, Svetlana; Geman, Helyette
8
2006
On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271
Ivanov, Roman V.; Ano, Katsunori
7
2016
Efficient, exact algorithms for Asian options with multiresolution lattices. Zbl 1054.91035
Dai, Tian-Shyr; Lyuu, Yuh-Dauh
7
2002
Option market making under inventory risk. Zbl 1168.91401
Stoikov, Sasha; Sağlam, Mehmet
7
2009
On the information in the interest rate term structure and option prices. Zbl 1080.91044
de Jong, Frank; Driessen, Joost; Pelsser, Antoon
7
2004
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
7
2012
An alternative approach to the valuation of American options and applications. Zbl 1274.91419
Kim, In Joon; Yu, G. George
7
1996
A refined binomial lattice for pricing American Asian options. Zbl 1274.91477
Chalasani, Prasad; Jha, Somesh; Egriboyun, Feyzullah; Varikooty, Ashok
7
1999
An empirical comparison of GARCH option pricing models. Zbl 1201.91229
Hsieh, K. C.; Ritchken, P.
7
2005
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks. Zbl 1059.91049
Wong, Hoi Ying; Kwok, Yue Kuen
6
2003
Asset pricing under information with stochastic volatility. Zbl 1175.91072
Düring, Bertram
6
2009
Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553
Hieber, Peter
6
2018
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
6
2011
A tractable yield-curve model that guarantees positive interest rates. Zbl 1274.91437
Pelsser, Antoon
6
1996
Dividend forecast biases in index option valuation. Zbl 1274.91405
Chance, Don M.; Kumar, Raman; Rich, Don
6
2000
Interest rate option pricing with volatility humps. Zbl 1274.91441
Ritchken, Peter; Chuang, Iyuan
6
1999
Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680
Seifert, Jan; Uhrig-Homburg, Marliese
6
2007
A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173
Faria, Gonçalo; Correia-da-Silva, João
6
2014
The valuation and behavior of Black-Scholes options subject to intertemporal default risk. Zbl 1274.91440
Rich, Don
5
1996
Option pricing using a binomial model with random time steps (A formal model of gamma hedging). Zbl 1274.91409
Dengler, Heike; Jarrow, Robert A.
5
1996
American stochastic volatility call option pricing: a lattice based approach. Zbl 1274.91411
Finucane, Thomas J.; Tomas, Michael J.
5
1996
Tighter option bounds from multiple exercise prices. Zbl 1274.91442
Ryan, Peter J.
5
2000
A universal lattice. Zbl 1274.91478
Chen, Ren-Raw; Yang, Tyler T.
5
1999
American option valuation under stochastic interest rates. Zbl 1274.91408
Chung, San-Lin
5
1999
Discount curve construction with tension splines. Zbl 1151.91558
Andersen, Leif
5
2007
Distressed debt prices and recovery rate estimation. Zbl 1165.91370
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi
5
2008
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072
Kao, Lie-Jane
5
2016
Local volatility of volatility for the VIX market. Zbl 1309.91106
Drimus, Gabriel; Farkas, Walter
5
2013
Window double barrier options. Zbl 1065.91024
Guillaume, Tristan
4
2003
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Zbl 1231.91442
Li, Minqiang
4
2010
Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217
Siven, Johannes; Poulsen, Rolf
4
2009
Variable purchase options. Zbl 1274.91413
Handley, John C.
4
2000
Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models. Zbl 1274.91450
Pang, Kin
4
1998
Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441
Franke, Guenter; Huang, James; Stapleton, Richard
4
2006
Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013
Mahayni, Antje; Schneider, Judith C.
4
2016
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262
Griebsch, Susanne A.
4
2013
An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050
Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe
4
2014
Contingent claims on foreign assets following jump-diffusion processes. Zbl 1059.91053
Martzoukos, Spiros H.
3
2003
Option prices under generalized pricing kernels. Zbl 1108.91039
Düring, Bertram; Lüders, Erik
3
2005
Analytical approximations for the critical stock prices of American options: a performance comparison. Zbl 1205.91159
Li, Minqiang
3
2010
A model of the convenience yields in on-the-run treasuries. Zbl 1080.91023
Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A.
3
2004
Pricing the risks of default: a note on Madan and Unal. Zbl 1089.91035
Grundke, Peter; Riedel, Karl O.
3
2004
Tempered stable structural model in pricing credit spread and credit default swap. Zbl 1417.91527
Kim, Sung Ik; Kim, Young Shin
3
2018
Structural default model with mutual obligations. Zbl 1417.91556
Itkin, Andrey; Lipton, Alexander
3
2017
Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158
Höcht, Stephan; Zagst, Rudi
3
2010
Discrete-time bond and option pricing for jump-diffusion processes. Zbl 1274.91479
Das, Sanjiv Ranjan
3
1996
Effects of callable feature on early exercise policy. Zbl 1274.91421
Kwok, Yue Kuen; Wu, Lixin
3
2000
Pricing of non-redundant derivatives in a complete market. Zbl 1274.91400
Bizid, Abdelhamid; Jouini, Elyès; Koehl, Pierre-François
3
1998
An extended set of risk neutral valuation relationships for the pricing of contingent claims. Zbl 1274.91404
Camara, Antonio
3
1999
Options on the minimum or the maximum of two average prices. Zbl 1274.91446
Wu, Xueping; Zhang, Jin E.
3
1999
Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204
Lioui, Abraham
3
2005
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515
Jarrow, R.; Purnanandam, A.
3
2007
Determinants of S&P 500 index option returns. Zbl 1151.91698
Cao, Charles; Huang, Jing-Zhi
3
2007
Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390
Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan
3
2008
Single name credit default swaptions meet single sided jump models. Zbl 1163.91434
Jönsson, Henrik; Schoutens, Wim
3
2008
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
3
2014
The \(\beta \)-variance gamma model. Zbl 1232.91713
Schoutens, Wim; Damme, Geert Van
3
2011
Analytical pricing of American options. Zbl 1256.91052
Cheng, Jun; Zhang, Jin E.
3
2012
Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064
Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael
3
2012
Impact of divergent consumer confidence on option prices. Zbl 1059.91041
Huang, James
2
2003
A tale of two volatilities. Zbl 1188.91228
Madan, Dilip B.
2
2009
Microstructural biases in empirical tests of option pricing models. Zbl 1189.91223
Dennis, Patrick; Mayhew, Stewart
2
2009
Deep calibration of financial models: turning theory into practice. Zbl 07573537
Büchel, Patrick; Kratochwil, Michael; Nagl, Maximilian; Rösch, Daniel
1
2022
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. Zbl 1467.91201
Liang, Gechun; Wang, Xingchun
2
2021
A model-free approach to multivariate option pricing. Zbl 1470.91270
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
1
2021
Towards a \(\Delta\)-Gamma Sato multivariate model. Zbl 1437.91425
Boen, Lynn; Guillaume, Florence
1
2020
The global minimum variance hedge. Zbl 1446.91078
Chiu, Wan-Yi
1
2020
Implied risk aversion: an alternative rating system for retail structured products. Zbl 1425.91432
Fink, Holger; Geissel, Sebastian; Sass, J.; Seifried, F. T.
2
2019
Empirical performance of reduced-form models for emission permit prices. Zbl 1425.91352
Hitzemann, Steffen; Uhrig-Homburg, Marliese
2
2019
A general closed form option pricing formula. Zbl 1414.91384
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter
1
2019
Option-implied value-at-risk and the cross-section of stock returns. Zbl 1425.91430
Ammann, Manuel; Feser, Alexander
1
2019
Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553
Hieber, Peter
6
2018
Tempered stable structural model in pricing credit spread and credit default swap. Zbl 1417.91527
Kim, Sung Ik; Kim, Young Shin
3
2018
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. Zbl 1417.91501
Gerer, Johannes; Dorfleitner, Gregor
2
2018
A multivariate stochastic volatility model with applications in the foreign exchange market. Zbl 1417.91496
Escobar, Marcos; Gschnaidtner, Christoph
2
2018
An empirical investigation of large trader market manipulation in derivatives markets. Zbl 1405.91625
Jarrow, Robert; Fung, Scott; Tsai, Shih-Chuan
2
2018
Risk-adjusted option-implied moments. Zbl 1417.91493
Brinkmann, Felix; Korn, Olaf
1
2018
The volatility target effect in structured investment products with capital protection. Zbl 1417.91546
Albeverio, Sergio; Steblovskaya, Victoria; Wallbaum, Kai
1
2018
The pricing kernel puzzle in forward looking data. Zbl 1405.91605
Cuesdeanu, Horatio; Jackwerth, Jens Carsten
1
2018
Structural default model with mutual obligations. Zbl 1417.91556
Itkin, Andrey; Lipton, Alexander
3
2017
On the multiplicity of option prices under CEV with positive elasticity of variance. Zbl 1417.91515
Veestraeten, Dirk
2
2017
A unified approach for the pricing of options relating to averages. Zbl 1418.91512
Funahashi, Hideharu; Kijima, Masaaki
2
2017
A four-factor stochastic volatility model of commodity prices. Zbl 1417.91513
Schöne, Max F.; Spinler, Stefan
1
2017
A bias in the volatility smile. Zbl 1417.91494
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; Muthuswamy, Jayaram
1
2017
Pricing double barrier options under a volatility regime-switching model with psychological barriers. Zbl 1418.91540
Song, Shiyu; Wang, Yongjin
1
2017
On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271
Ivanov, Roman V.; Ano, Katsunori
7
2016
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072
Kao, Lie-Jane
5
2016
Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013
Mahayni, Antje; Schneider, Judith C.
4
2016
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. Zbl 1345.91075
Torricelli, Lorenzo
2
2016
Stochastic covariance and dimension reduction in the pricing of basket options. Zbl 1349.91305
Escobar, Marcos; Krause, Daniel; Zagst, Rudi
1
2016
Commodity derivative valuation under a factor model with time-varying market prices of risk. Zbl 1315.91072
Mirantes, Andrés G.; Población, Javier; Serna, Gregorio
1
2015
The valuation of forward-start rainbow options. Zbl 1315.91061
Chen, Chun-Ying; Wang, Hsiao-Chuan; Wang, J.-Y.
1
2015
Pricing average options under time-changed Lévy processes. Zbl 1285.91134
Yamazaki, Akira
11
2014
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189
Chan, Ron Tat Lung; Hubbert, Simon
11
2014
A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173
Faria, Gonçalo; Correia-da-Silva, João
6
2014
An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050
Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe
4
2014
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
3
2014
The impact of quantitative easing on the US term structure of interest rates. Zbl 1300.91054
Jarrow, Robert; Li, Hao
2
2014
Does modeling framework matter? A comparative study of structural and reduced-form models. Zbl 1285.91139
Gündüz, Yalin; Uhrig-Homburg, Marliese
1
2014
Path-dependent game options: a lookback case. Zbl 1285.91127
Guo, Peidong; Chen, Qihong; Guo, Xicai; Fang, Yue
1
2014
The \(\alpha\)VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100
Guillaume, Florence
21
2013
New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263
Itkin, Andrey
9
2013
Local volatility of volatility for the VIX market. Zbl 1309.91106
Drimus, Gabriel; Farkas, Walter
5
2013
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262
Griebsch, Susanne A.
4
2013
Valuation of American partial barrier options. Zbl 1296.91264
Jun, Doobae; Ku, Hyejin
2
2013
Parametric modeling of implied smile functions: a generalized SVI model. Zbl 1269.91101
Zhao, Bo; Hodges, Stewart D.
2
2013
Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. Zbl 1282.91261
Siriopoulos, Costas; Fassas, Athanasios
1
2013
A lattice model for option pricing under GARCH-jump processes. Zbl 1312.91088
Lin, Bing-Huei; Hung, Mao-Wei; Wang, Jr-Yan; Wu, Ping-Da
1
2013
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
7
2012
Analytical pricing of American options. Zbl 1256.91052
Cheng, Jun; Zhang, Jin E.
3
2012
Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064
Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael
3
2012
Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140
Herbertsson, Alexander
8
2011
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
6
2011
The \(\beta \)-variance gamma model. Zbl 1232.91713
Schoutens, Wim; Damme, Geert Van
3
2011
A recombining lattice option pricing model that relaxes the assumption of lognormality. Zbl 1230.91178
Ji, Dasheng; Brorsen, B. Wade
2
2011
A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
A remark on static hedging of options written on the last exit time. Zbl 1232.91667
Imamura, Yuri
1
2011
American options and callable bonds under stochastic interest rates and endogenous bankruptcy. Zbl 1235.91166
Vidal Nunes, João Pedro
1
2011
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
23
2010
Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311
Antonelli, F.; Ramponi, A.; Scarlatti, S.
12
2010
A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342
Zhylyevskyy, Oleksandr
11
2010
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Zbl 1231.91442
Li, Minqiang
4
2010
Analytical approximations for the critical stock prices of American options: a performance comparison. Zbl 1205.91159
Li, Minqiang
3
2010
Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158
Höcht, Stephan; Zagst, Rudi
3
2010
The cost of operational risk loss insurance. Zbl 1213.91090
Jarrow, Robert A.; Oxman, Jeff; Yildirim, Yildiray
2
2010
An empirical analysis of alternative recovery risk models and implied recovery rates. Zbl 1231.91454
Zhang, Frank Xiaoling
1
2010
Convenience yields. Zbl 1202.91319
Jarrow, Robert A.
1
2010
A comparison of single factor Markov-functional and multi factor market models. Zbl 1213.91083
Pietersz, Raoul; Pelsser, Antoon
1
2010
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
12
2009
Option market making under inventory risk. Zbl 1168.91401
Stoikov, Sasha; Sağlam, Mehmet
7
2009
Asset pricing under information with stochastic volatility. Zbl 1175.91072
Düring, Bertram
6
2009
Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217
Siven, Johannes; Poulsen, Rolf
4
2009
A tale of two volatilities. Zbl 1188.91228
Madan, Dilip B.
2
2009
Microstructural biases in empirical tests of option pricing models. Zbl 1189.91223
Dennis, Patrick; Mayhew, Stewart
2
2009
A general framework for the derivation of asset price bounds: An application to stochastic volatility option models. Zbl 1175.91069
Bondarenko, Oleg; Longarela, Iñaki R.
2
2009
Dynamic programming and mean-variance hedging with partial execution risk. Zbl 1168.91370
Matsumoto, Koichi
1
2009
On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377
Areal, Nelson; Rodrigues, Artur; Armada, Manuel R.
11
2008
Distressed debt prices and recovery rate estimation. Zbl 1165.91370
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi
5
2008
Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390
Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan
3
2008
Single name credit default swaptions meet single sided jump models. Zbl 1163.91434
Jönsson, Henrik; Schoutens, Wim
3
2008
Making the best of best-of. Zbl 1163.91400
Guillaume, Tristan
1
2008
Leverage, options liabilities, and corporate bond pricing. Zbl 1165.91402
Huang, Hongming; Yildirim, Yildiray
1
2008
Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
65
2007
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
35
2007
Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680
Seifert, Jan; Uhrig-Homburg, Marliese
6
2007
Discount curve construction with tension splines. Zbl 1151.91558
Andersen, Leif
5
2007
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515
Jarrow, R.; Purnanandam, A.
3
2007
Determinants of S&P 500 index option returns. Zbl 1151.91698
Cao, Charles; Huang, Jing-Zhi
3
2007
A model of discontinuous interest rate behavior, yield curves, and volatility. Zbl 1151.91668
Heston, Steven L.
1
2007
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
22
2006
Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406
Chang, Lung-Fu; Hung, Mao-Wei
12
2006
Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter
9
2006
Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401
Borovkova, Svetlana; Geman, Helyette
8
2006
Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441
Franke, Guenter; Huang, James; Stapleton, Richard
4
2006
Model misspecification analysis for bond options and Markovian hedging strategies. Zbl 1274.91402
Bossy, Mireille; Gibson, Rajna; Lhabitant, Francois-Serge; Pistre, Nathalie; Talay, Denis
1
2006
Price discovery in the U.S. stock and stock options markets: a portfolio approach. Zbl 1274.91383
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren
1
2006
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
14
2005
A continuous time model to price commodity-based swing options. Zbl 1134.91406
Dahlgren, M.
11
2005
An empirical comparison of GARCH option pricing models. Zbl 1201.91229
Hsieh, K. C.; Ritchken, P.
7
2005
Option prices under generalized pricing kernels. Zbl 1108.91039
Düring, Bertram; Lüders, Erik
3
2005
Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204
Lioui, Abraham
3
2005
Options with constant underlying elasticity in strikes. Zbl 1108.91037
Blenman, Lloyd P.; Clark, Steven P.
2
2005
...and 59 more Documents
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Cited by 1,704 Authors

18 Madan, Dilip B.
14 Benth, Fred Espen
14 Chiarella, Carl
11 Oosterlee, Cornelis Willebrordus
10 Elliott, Robert James
10 Escobar, Marcos
10 Grasselli, Martino
10 Lyuu, Yuh-Dauh
9 Kwok, Yue-Kuen
9 Siu, Tak Kuen
8 Carr, Peter Paul
8 Da Fonseca, José
8 Filipović, Damir
8 Jarrow, Robert Alan
8 Liang, Jin
8 Wang, Xingchun
8 Zagst, Rudi
7 Ballestra, Luca Vincenzo
7 Company, Rafael
7 Cui, Zhenyu
7 Düring, Bertram
7 Forsyth, Peter A.
7 Gómez-Valle, Lourdes
7 Itkin, Andrey
7 Ivanov, Roman V.
7 Jeanblanc, Monique
7 Kim, Geonwoo
7 Martínez-Rodríguez, Julia
7 Tunaru, Radu S.
7 Wang, Guojing
6 Biagini, Francesca
6 Dai, Tian-Shyr
6 Härdle, Wolfgang Karl
6 Jódar Sanchez, Lucas Antonio
6 Kim, Jeong-Hoon
6 Lipton, Alexander
6 Mariani, Maria Cristina
6 Nikitopoulos Sklibosios, Christina
6 Pelsser, Antoon A. J.
6 Wong, Hoi Ying
6 Ye, Zhongxing
5 Buchmann, Boris
5 Costabile, Massimo
5 Deelstra, Griselda
5 Dong, Yinghui
5 Fusai, Gianluca
5 Geman, Hélyette
5 Guillaume, Florence
5 He, Xinjiang
5 Hinz, Juri
5 Jun, Doobae
5 Kadalbajoo, Mohan K.
5 Kallsen, Jan
5 Kumar, Alpesh
5 Leung, Tim
5 Li, Lingfei
5 Liang, Xue
5 Ma, Yong-Ki
5 Massabó, Ivar
5 Mehrdoust, Farshid
5 Platen, Eckhard
5 Ramponi, Alessandro
5 Russo, Emilio
5 Schoutens, Wim
5 Tangman, Désiré Yannick
5 Toivanen, Jari
5 Tripathi, Lok Pati
5 Yamazaki, Akira
5 Zheng, Wendong
4 Antonelli, Fabio
4 Badescu, Alexandru M.
4 Bender, Christian
4 Bernard, Carole L.
4 Biffis, Enrico
4 Boen, Lynn
4 Çetin, Umut
4 Chiu, Mei Choi
4 Dai, Min
4 Das, Sanjiv Ranjan
4 Fabozzi, Frank J.
4 Fakharany, M.
4 Giesecke, Kay
4 Gnoatto, Alessandro
4 Hieber, Peter
4 Kijima, Masaaki
4 Ku, Hyejin
4 Kyriakou, Ioannis
4 le Courtois, Olivier
4 Li, Shenghong
4 Lian, Guanghua
4 Lorig, Matthew J.
4 Lu, Kevin W.
4 Marazzina, Daniele
4 Mayerhofer, Eberhard
4 Meyer-Brandis, Thilo
4 Millossovich, Pietro
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4 Pacelli, Graziella
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4 Protter, Philip Elliott
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Cited in 181 Journals

135 Quantitative Finance
78 International Journal of Theoretical and Applied Finance
76 Review of Derivatives Research
54 Journal of Computational and Applied Mathematics
47 European Journal of Operational Research
46 Applied Mathematical Finance
44 Insurance Mathematics & Economics
38 Journal of Economic Dynamics & Control
35 Finance and Stochastics
34 Mathematical Finance
20 Applied Mathematics and Computation
19 SIAM Journal on Financial Mathematics
17 International Journal of Computer Mathematics
17 Asia-Pacific Financial Markets
16 Stochastic Processes and their Applications
15 Mathematics and Financial Economics
14 Physica A
14 Annals of Operations Research
14 Decisions in Economics and Finance
13 Applied Numerical Mathematics
13 Discrete Dynamics in Nature and Society
12 The Annals of Applied Probability
11 Journal of Econometrics
9 Computers & Mathematics with Applications
9 Journal of Mathematical Analysis and Applications
9 Chaos, Solitons and Fractals
9 Mathematical Methods of Operations Research
8 Abstract and Applied Analysis
8 Methodology and Computing in Applied Probability
7 Journal of Applied Probability
7 Computers & Operations Research
7 Applied Mathematics. Series B (English Edition)
7 North American Actuarial Journal
7 Computational Management Science
7 Annals of Finance
6 Advances in Applied Probability
6 Mathematics and Computers in Simulation
6 Stochastic Analysis and Applications
6 Computational Statistics and Data Analysis
6 Applied Stochastic Models in Business and Industry
5 Japan Journal of Industrial and Applied Mathematics
5 Communications in Statistics. Theory and Methods
5 Communications in Nonlinear Science and Numerical Simulation
5 Scandinavian Actuarial Journal
5 Journal of Applied Mathematics
5 Stochastic Models
5 Journal of Industrial and Management Optimization
4 SIAM Journal on Control and Optimization
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4 Journal of Systems Science and Complexity
4 ASTIN Bulletin
4 Stochastics
3 Journal of Optimization Theory and Applications
3 Mathematics of Operations Research
3 Numerische Mathematik
3 Operations Research
3 Statistics & Probability Letters
3 Operations Research Letters
3 Acta Mathematicae Applicatae Sinica. English Series
3 Journal of Scientific Computing
3 Communications in Statistics. Simulation and Computation
3 Bernoulli
3 Mathematical Problems in Engineering
3 Studies in Nonlinear Dynamics and Econometrics
3 Probability in the Engineering and Informational Sciences
3 Stochastics and Dynamics
3 Journal of the Korean Statistical Society
3 East Asian Mathematical Journal
3 International Journal of Stochastic Analysis
3 European Actuarial Journal
2 Lithuanian Mathematical Journal
2 Metrika
2 Calcolo
2 Journal of Differential Equations
2 Journal of Economic Theory
2 Journal of Mathematical Economics
2 Journal of Multivariate Analysis
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 SIAM Journal on Numerical Analysis
2 Econometric Reviews
2 Numerical Methods for Partial Differential Equations
2 European Journal of Applied Mathematics
2 Computational Statistics
2 Linear Algebra and its Applications
2 Computational Economics
2 Electronic Communications in Probability
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Journal of Inequalities and Applications
2 The ANZIAM Journal
2 Nonlinear Analysis. Real World Applications
2 Advances in Difference Equations
2 Asian Journal of Control
2 Mathematical Control and Related Fields
2 East Asian Journal on Applied Mathematics
2 Journal of Function Spaces
1 Acta Informatica
1 Applicable Analysis
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