Valuation of an option using non-parametric methods Shu Ling ChiangMing Shann Tsai OriginalPaper 22 January 2019 Pages: 419 - 447
Empirical performance of reduced-form models for emission permit prices Steffen HitzemannMarliese Uhrig-Homburg OriginalPaper 11 January 2019 Pages: 389 - 418
Implied risk aversion: an alternative rating system for retail structured products H. FinkS. GeisselF. T. Seifried OriginalPaper 04 January 2019 Pages: 357 - 387
Dissecting the tracking performance of regular and leveraged VIX ETPs Hongfei TangXiaoqing Eleanor Xu OriginalPaper 02 November 2018 Pages: 261 - 327
Pricing cross-currency interest rate swaps under the Levy market model Ming-Chieh WangLi-Jhang Huang OriginalPaper 16 October 2018 Pages: 329 - 355
Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe Benjamin HippertAndré UhdeSascha Tobias Wengerek OriginalPaper 27 September 2018 Pages: 203 - 259
Pricing and risk of swing contracts in natural gas markets Hendrik KohrsHermann MühlichenFrank Schuhmacher OriginalPaper 22 June 2018 Pages: 77 - 167
Pricing VIX derivatives with free stochastic volatility model Wei LinShenghong LiJin E. Zhang OriginalPaper 16 June 2018 Pages: 41 - 75
Is trading in the shortest-term index options profitable? Ging-Ginq PanYung-Ming ShiuTu-Cheng Wu OriginalPaper 13 June 2018 Pages: 169 - 201
A general closed form option pricing formula Ciprian NeculaGabriel DrimusWalter Farkas OriginalPaper 19 May 2018 Pages: 1 - 40
An empirical investigation of large trader market manipulation in derivatives markets Robert JarrowScott FungShih-Chuan Tsai OriginalPaper 18 April 2018 Pages: 331 - 374
Dynamic hedging with futures: a copula-based GARCH model with high-frequency data Yu-Sheng Lai OriginalPaper 20 February 2018 Pages: 307 - 329
GARCH option pricing models with Meixner innovations Matthias R. FenglerAlexander Melnikov OriginalPaper 26 December 2017 Pages: 277 - 305
The pricing kernel puzzle in forward looking data Horatio CuesdeanuJens Carsten Jackwerth OriginalPaper 08 November 2017 Pages: 253 - 276
Pricing exotic options in a regime switching economy: a Fourier transform method Peter Hieber OriginalPaper 25 September 2017 Pages: 231 - 252
The volatility target effect in structured investment products with capital protection Sergio AlbeverioVictoria SteblovskayaKai Wallbaum OriginalPaper 18 August 2017 Pages: 201 - 229
Risk-adjusted option-implied moments Felix BrinkmannOlaf Korn OriginalPaper 02 August 2017 Pages: 149 - 173
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions Johannes GererGregor Dorfleitner OriginalPaper 20 July 2017 Pages: 175 - 199
Tempered stable structural model in pricing credit spread and credit default swap Sung Ik KimYoung Shin Kim OriginalPaper 05 July 2017 Pages: 119 - 148
The determinants of CDS spreads: evidence from the model space Matthias PelsterJohannes Vilsmeier OriginalPaper 26 June 2017 Pages: 63 - 118
Did crisis alter trading of two major oil futures markets? Iman AdeinatNaseem Al RahahlehPeihwang Wei OriginalPaper 19 April 2017 Pages: 45 - 61
A multivariate stochastic volatility model with applications in the foreign exchange market Marcos EscobarChristoph Gschnaidtner OriginalPaper 20 March 2017 Pages: 1 - 43
The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk Antje MahayniMatthias Muck OriginalPaper 16 March 2017 Pages: 281 - 308
Pricing double barrier options under a volatility regime-switching model with psychological barriers Shiyu SongYongjin Wang OriginalPaper 15 March 2017 Pages: 255 - 280
Profitability patterns in the interest rate derivatives market Ralf Meyer OriginalPaper 09 March 2017 Pages: 231 - 254
A unified approach for the pricing of options relating to averages Hideharu FunahashiMasaaki Kijima OriginalPaper 06 February 2017 Pages: 203 - 229
Implied volatility and skewness surface Bruno FeunouJean-Sébastien FontaineRoméo Tédongap OriginalPaper 09 January 2017 Pages: 167 - 202
A four-factor stochastic volatility model of commodity prices Max F. SchöneStefan Spinler OriginalPaper 16 November 2016 Pages: 135 - 165
Rainbow trend options: valuation and applications Jr-Yan WangHsiao-Chuan WangMao-Wei Hung OriginalPaper 05 October 2016 Pages: 91 - 133
A bias in the volatility smile Don M. ChanceThomas A. HansonJayaram Muthuswamy OriginalPaper 16 June 2016 Pages: 47 - 90
Structural default model with mutual obligations Andrey ItkinAlexander Lipton OriginalPaper 06 June 2016 Pages: 15 - 46
On the multiplicity of option prices under CEV with positive elasticity of variance Dirk Veestraeten OriginalPaper Open access 04 April 2016 Pages: 1 - 13
The leverage effect puzzle: the case of European sovereign credit default swap market Agata Kliber OriginalPaper Open access 17 March 2016 Pages: 217 - 235
On exact pricing of FX options in multivariate time-changed Lévy models Roman V. IvanovKatsunori Ano OriginalPaper 11 February 2016 Pages: 201 - 216
Stochastic covariance and dimension reduction in the pricing of basket options Marcos EscobarDaniel KrauseRudi Zagst OriginalPaper 30 January 2016 Pages: 165 - 200
Option pricing model with sentiment Chunpeng YangBin GaoJianlei Yang OriginalPaper 08 January 2016 Pages: 147 - 164
Migrate or not? The effects of regulation SHO on options trading activities Yubin LiChen ZhaoZhaodong Zhong OriginalPaper 11 November 2015 Pages: 113 - 146
Minimum return guarantees, investment caps, and investment flexibility Antje MahayniJudith C. Schneider OriginalPaper 07 November 2015 Pages: 85 - 111
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? Jacinto Marabel Romo OriginalPaper 08 September 2015 Pages: 65 - 83
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options Lie-Jane Kao OriginalPaper 22 July 2015 Pages: 41 - 64
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes Lorenzo Torricelli OriginalPaper 17 July 2015 Pages: 1 - 39
A copula-based approach for generating lattices Tianyang WangJames S. DyerWarren J. Hahn OriginalPaper 02 July 2015 Pages: 263 - 289
A note on the pricing of multivariate contingent claims under a transformed-gamma distribution Luiz VitielloIvonia Rebelo OriginalPaper 30 June 2015 Pages: 291 - 300
Do CDS spreads move with commonality in liquidity? Christian MeineHendrik SupperGregor N. F. Weiß OriginalPaper 26 April 2015 Pages: 225 - 261
Do correlated defaults matter for CDS premia? An empirical analysis Christian KoziolPhilipp KoziolThomas Schön OriginalPaper 17 February 2015 Pages: 191 - 224
Erratum to: The valuation of forward-start rainbow options Chun-Ying ChenHsiao-Chuan WangJr-Yan Wang Erratum 09 January 2015 Pages: 189 - 189
The valuation and information content of options on crude-oil futures contracts Finbarr MurphyEhud I. Ronn OriginalPaper 02 December 2014 Pages: 95 - 106
Market making and risk management in options markets Naomi E. Boyd OriginalPaper 04 November 2014 Pages: 1 - 27
Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option Andreas W. RathgeberDavid RudolphStefan Stöckl OriginalPaper 30 October 2014 Pages: 107 - 143
The valuation of forward-start rainbow options Chun-Ying ChenHsiao-Chuan WangJr-Yan Wang OriginalPaper 22 October 2014 Pages: 145 - 188
