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A two-factor structural model for valuing corporate securities Malek Ben-AbdellatifHatem Ben-AmeurBruno Rémillard OriginalPaper 28 April 2024 Pages: 203 - 225
Simple is simply not enough—features versus labels of complex financial securities Martin HibbelnWerner Osterkamp OriginalPaper Open access 23 April 2024 Pages: 113 - 150
Martingale defects in the volatility surface and bubble conditions in the underlying Philip StahlJérôme Blauth OriginalPaper Open access 19 January 2024 Pages: 85 - 111
Pricing levered warrants under the CEV diffusion model Carlos Miguel GlóriaJosé Carlos DiasAricson Cruz OriginalPaper Open access 11 January 2024 Pages: 55 - 84
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility Yuecai HanFengtong Zhang OriginalPaper 10 January 2024 Pages: 37 - 53
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle Maik DierkesJan KrupskiPhilipp Sibbertsen OriginalPaper Open access 29 November 2023 Pages: 1 - 35
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model Frédéric GodinRamin EghbalzadehPatrice Gaillardetz OriginalPaper 04 October 2023 Pages: 171 - 206
Implied volatility surfaces: a comprehensive analysis using half a billion option prices Maxim UlrichLukas ZimmerConstantin Merbecks OriginalPaper Open access 30 September 2023 Pages: 135 - 169
Hedging cryptocurrency options Jovanka Lili MaticNatalie PackhamWolfgang Karl Härdle OriginalPaper Open access 10 February 2023 Pages: 91 - 133
Continuity correction: on the pricing of discrete double barrier options Sheng-Feng LuoHsin-Chieh Wong OriginalPaper Open access 24 November 2022 Pages: 51 - 90
Pricing vulnerable basket spread options with liquidity risk Ziming DongDan TangXingchun Wang OriginalPaper 17 October 2022 Pages: 23 - 50
Interest rate swaps: a comparison of compounded daily versus discrete reference rates Robert JarrowSiguang Li OriginalPaper 26 September 2022 Pages: 1 - 21
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index Philip Stahl OriginalPaper Open access 18 September 2022 Pages: 315 - 339
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities Matthias Muck OriginalPaper Open access 18 September 2022 Pages: 293 - 314
CMS spread options in quadratic Gaussian model Parviz RakhmonovFiruz Rakhmonov OriginalPaper 10 September 2022 Pages: 283 - 291
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach Pakorn AschakulpornJin E. Zhang OriginalPaper Open access 21 June 2022 Pages: 233 - 281
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation Jie ChenLiaoyuan FanGongqiu Zhang OriginalPaper 02 April 2022 Pages: 189 - 232
Oil futures volatility smiles in 2020: Why the bachelier smile is flatter Roza GaleevaEhud Ronn OriginalPaper 15 February 2022 Pages: 173 - 187
The impact of non-cash collateralization on the over-the-counter derivatives markets Kazuhiro Takino OriginalPaper 17 November 2021 Pages: 137 - 171
Economic policy uncertainty and volatility of treasury futures Maojun ZhangYang ZhaoJiangxia Nan OriginalPaper 03 September 2021 Pages: 93 - 107
Deep calibration of financial models: turning theory into practice Patrick BüchelMichael KratochwilDaniel Rösch OriginalPaper Open access 17 August 2021 Pages: 109 - 136
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods Zonggang MaChaoqun MaZhijian Wu OriginalPaper 17 July 2021 Pages: 47 - 91
Optimal exercise of American put options near maturity: A new economic perspective Anna BattauzMarzia De DonnoAlessandro Sbuelz OriginalPaper Open access 28 June 2021 Pages: 23 - 46
Valuing fade-in options with default risk in Heston–Nandi GARCH models Xingchun Wang OriginalPaper 11 June 2021 Pages: 1 - 22
Does model complexity improve pricing accuracy? The case of CoCos Christian KoziolSebastian Weitz OriginalPaper Open access 12 May 2021 Pages: 261 - 284
Pricing vulnerable options with jump risk and liquidity risk Xingchun Wang OriginalPaper 17 March 2021 Pages: 243 - 260
Mean-variance hedging in the presence of estimation risk Wan-Yi Chiu OriginalPaper 11 February 2021 Pages: 221 - 241
Idiosyncratic volatility, option-based measures of informed trading, and investor attention Hannes MohrschladtJudith C. Schneider OriginalPaper Open access 28 January 2021 Pages: 197 - 220
The value of power-related options under spectrally negative Lévy processes Jean-Philippe Aguilar OriginalPaper 15 January 2021 Pages: 173 - 196
Bayesian estimation of the stochastic volatility model with double exponential jumps Jinzhi Li OriginalPaper 01 January 2021 Pages: 157 - 172
A model-free approach to multivariate option pricing Carole BernardOleg BondarenkoSteven Vanduffel OriginalPaper 27 October 2020 Pages: 135 - 155
The impact of the leverage effect on the implied volatility smile: evidence for the German option market A. W. RathgeberJ. StadlerS. Stöckl OriginalPaper Open access 15 September 2020 Pages: 95 - 133
Uncertain strike lookback options pricing with floating interest rate Lidong ZhangYanmei SunXiangbo Meng OriginalPaper 13 August 2020 Pages: 79 - 94
Diversification with options and structured products Shuonan YuanMarc Oliver Rieger OriginalPaper 23 July 2020 Pages: 55 - 77
Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes Gechun LiangXingchun Wang OriginalPaper 10 June 2020 Pages: 1 - 30
Option-implied information: What’s the vol surface got to do with it? Maxim UlrichSimon Walther OriginalPaper Open access 07 May 2020 Pages: 323 - 355
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach Patrick BüchelMichael KratochwilDaniel Rösch OriginalPaper Open access 14 January 2020 Pages: 273 - 322
A note on options and bubbles under the CEV model: implications for pricing and hedging José Carlos DiasJoão Pedro Vidal NunesAricson Cruz OriginalPaper 24 September 2019 Pages: 249 - 272
Portfolio construction using bootstrapping neural networks: evidence from global stock market Hsiao-Fen HsiaoJiang-Chuan HuangZheng-Wei Lin OriginalPaper 25 July 2019 Pages: 227 - 247
Approaching rainfall-based weather derivatives pricing and operational challenges Andrea Martínez SalgueiroMaria-Antonia Tarrazon-Rodon OriginalPaper 08 July 2019 Pages: 163 - 190
Yield curves from different bond data sets Antonio DíazFrancisco JareñoEliseo Navarro OriginalPaper 05 July 2019 Pages: 191 - 226
A generalization of option pricing to price-limit markets Jia-Hau GuoLung-Fu Chang OriginalPaper 03 July 2019 Pages: 145 - 161
Time consistent pricing of options with embedded decisions G. DorfleitnerJ. Gerer OriginalPaper 04 May 2019 Pages: 85 - 119
Valuing American-style options under the CEV model: an integral representation based method Aricson CruzJosé Carlos Dias OriginalPaper 29 April 2019 Pages: 63 - 83
Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints Ana M. MonteiroAntonio A. F. Santos OriginalPaper 20 March 2019 Pages: 41 - 61
Option-implied Value-at-Risk and the cross-section of stock returns Manuel AmmannAlexander Feser OriginalPaper 04 March 2019 Pages: 449 - 474
Towards a \(\Delta \)-Gamma Sato multivariate model Lynn BoenFlorence Guillaume OriginalPaper 27 February 2019 Pages: 1 - 39