| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A bias in the volatility smile
|
Chance, Don M.
|
|
2016
|
|
1 |
p. 47-90
|
artikel
|
| 2 |
A binomial approximation for two-state Markovian HJM models
|
Costabile, Massimo
|
|
2010
|
|
1 |
p. 37-65
|
artikel
|
| 3 |
A call on art investments
|
Kraeussl, Roman
|
|
2011
|
|
1 |
p. 1-23
|
artikel
|
| 4 |
A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
|
Henderson, Vicky
|
|
2005
|
|
1 |
p. 5-25
|
artikel
|
| 5 |
A Continuous Time Model to Price Commodity-Based Swing Options
|
Dahlgren, M.
|
|
2005
|
|
1 |
p. 27-47
|
artikel
|
| 6 |
A fast Fourier transform technique for pricing American options under stochastic volatility
|
Zhylyevskyy, Oleksandr
|
|
2009
|
|
1 |
p. 1-24
|
artikel
|
| 7 |
A general closed form option pricing formula
|
Necula, Ciprian
|
|
2018
|
|
1 |
p. 1-40
|
artikel
|
| 8 |
A multivariate stochastic volatility model with applications in the foreign exchange market
|
Escobar, Marcos
|
|
2017
|
|
1 |
p. 1-43
|
artikel
|
| 9 |
Analytical approximations for the critical stock prices of American options: a performance comparison
|
Li, Minqiang
|
|
2009
|
|
1 |
p. 75-99
|
artikel
|
| 10 |
An analytical approach for systematic risk sensitivity of structured finance products
|
Claußen, Arndt
|
|
2013
|
|
1 |
p. 1-37
|
artikel
|
| 11 |
An Extended Set of Risk Neutral Valuation Relationshipsfor the Pricing of Contingent Claims
|
Antonio Camara
|
|
1999
|
|
1 |
p. 67-83
17 p.
|
artikel
|
| 12 |
An Extended Set of Risk Neutral Valuation Relationships for the Pricing of Contingent Claims
|
Camara, Antonio
|
|
1999
|
|
1 |
p. 67-83
|
artikel
|
| 13 |
A Refined Binomial Lattice for Pricing American Asian Options
|
Prasad Chalasani
|
|
1999
|
|
1 |
p. 85-105
21 p.
|
artikel
|
| 14 |
A Refined Binomial Lattice for Pricing American Asian Options
|
Chalasani, Prasad
|
|
1999
|
|
1 |
p. 85-105
|
artikel
|
| 15 |
Are put-call ratios a substitute for short sales?
|
Blau, Benjamin M.
|
|
2014
|
|
1 |
p. 51-73
|
artikel
|
| 16 |
Bermudan option in Singapore Savings Bonds
|
Lim, Kian Guan
|
|
|
|
1 |
p. 31-54
|
artikel
|
| 17 |
Calibration and hedging under jump diffusion
|
He, C.
|
|
2006
|
|
1 |
p. 1-35
|
artikel
|
| 18 |
Calibration risk: Illustrating the impact of calibration risk under the Heston model
|
Guillaume, Florence
|
|
2011
|
|
1 |
p. 57-79
|
artikel
|
| 19 |
Commodity derivative valuation under a factor model with time-varying market prices of risk
|
Mirantes, Andrés G.
|
|
2014
|
|
1 |
p. 75-93
|
artikel
|
| 20 |
Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
|
Monteiro, Ana M.
|
|
|
|
1 |
p. 41-61
|
artikel
|
| 21 |
Contingent Claims on Foreign Assets Following Jump-Diffusion Processes
|
Spiros H. Martzoukos
|
|
2003
|
|
1 |
p. 27-45
19 p.
|
artikel
|
| 22 |
Contingent Claims on Foreign Assets Following Jump-Diffusion Processes
|
Martzoukos, Spiros H.
|
|
2003
|
|
1 |
p. 27-45
|
artikel
|
| 23 |
Continuity correction: on the pricing of discrete double barrier options
|
Luo, Sheng-Feng
|
|
|
|
1 |
p. 51-90
|
artikel
|
| 24 |
Convenience yields
|
Jarrow, Robert A.
|
|
2009
|
|
1 |
p. 25-43
|
artikel
|
| 25 |
Credit Events and the Valuation of Credit Derivatives ofBasket Type
|
Masaaki Kijima
|
|
2000
|
|
1 |
p. 55-79
25 p.
|
artikel
|
| 26 |
Credit Events and the Valuation of Credit Derivatives of Basket Type
|
Kijima, Masaaki
|
|
2000
|
|
1 |
p. 55-79
|
artikel
|
| 27 |
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
|
Kao, Lie-Jane
|
|
2015
|
|
1 |
p. 41-64
|
artikel
|
| 28 |
Delta-hedging correlation risk?
|
Cousin, Areski
|
|
2011
|
|
1 |
p. 25-56
|
artikel
|
| 29 |
Determinants of S&P 500 index option returns
|
Cao, Charles
|
|
2008
|
|
1 |
p. 1-38
|
artikel
|
| 30 |
Did crisis alter trading of two major oil futures markets?
|
Adeinat, Iman
|
|
2017
|
|
1 |
p. 45-61
|
artikel
|
| 31 |
Diversification with options and structured products
|
Yuan, Shuonan
|
|
|
|
1 |
p. 55-77
|
artikel
|
| 32 |
Does modeling framework matter? A comparative study of structural and reduced-form models
|
Gündüz, Yalin
|
|
2013
|
|
1 |
p. 39-78
|
artikel
|
| 33 |
Dynamic programming and mean-variance hedging with partial execution risk
|
Matsumoto, Koichi
|
|
2009
|
|
1 |
p. 29-53
|
artikel
|
| 34 |
Economic policy uncertainty and volatility of treasury futures
|
Zhang, Maojun
|
|
|
|
1 |
p. 93-107
|
artikel
|
| 35 |
Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange
|
Julio J. Lucia
|
|
2002
|
|
1 |
p. 5-50
46 p.
|
artikel
|
| 36 |
Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange
|
Lucia, Julio J.
|
|
2002
|
|
1 |
p. 5-50
|
artikel
|
| 37 |
Exchange option pricing under stochastic volatility: a correlation expansion
|
Antonelli, F.
|
|
2009
|
|
1 |
p. 45-73
|
artikel
|
| 38 |
Foreign currency bubbles
|
Jarrow, Robert A.
|
|
2010
|
|
1 |
p. 67-83
|
artikel
|
| 39 |
Hedging cryptocurrency options
|
Matic, Jovanka Lili
|
|
|
|
1 |
p. 91-133
|
artikel
|
| 40 |
Heterogeneity and Option Pricing
|
Simon Benninga
|
|
2000
|
|
1 |
p. 7-27
21 p.
|
artikel
|
| 41 |
Heterogeneity and Option Pricing
|
Benninga, Simon
|
|
2000
|
|
1 |
p. 7-27
|
artikel
|
| 42 |
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
|
Charlotte Christiansen
|
|
2002
|
|
1 |
p. 51-80
30 p.
|
artikel
|
| 43 |
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
|
Christiansen, Charlotte
|
|
2002
|
|
1 |
p. 51-80
|
artikel
|
| 44 |
Interest Rate Derivatives in a Duffie and Kan Model withStochastic Volatility: An Arrow-Debreu Pricing Approach
|
João Pedro Vidal Nunes
|
|
1999
|
|
1 |
p. 5-66
62 p.
|
artikel
|
| 45 |
Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach
|
Nunes, João Pedro Vidal
|
|
1999
|
|
1 |
p. 5-66
|
artikel
|
| 46 |
Interest rate swaps: a comparison of compounded daily versus discrete reference rates
|
Jarrow, Robert
|
|
|
|
1 |
p. 1-21
|
artikel
|
| 47 |
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
|
Marabel Romo, Jacinto
|
|
2015
|
|
1 |
p. 65-83
|
artikel
|
| 48 |
Is trading in the shortest-term index options profitable?
|
Pan, Ging-Ginq
|
|
2018
|
|
1 |
p. 169-201
|
artikel
|
| 49 |
Lean TreesA General Approach for Improving Performance of Lattice Models for Option Pricing
|
Rainer Baule
|
|
2004
|
|
1 |
p. 53-72
20 p.
|
artikel
|
| 50 |
Lean Trees—A General Approach for Improving Performance of Lattice Models for Option Pricing
|
Baule, Rainer
|
|
2004
|
|
1 |
p. 53-72
|
artikel
|
| 51 |
Locally Complete Markets, Exchange Rates and Currency Options
|
Dong-Hyun Ahn
|
|
2003
|
|
1 |
p. 5-26
22 p.
|
artikel
|
| 52 |
Locally Complete Markets, Exchange Rates and Currency Options
|
Ahn, Dong-Hyun
|
|
2003
|
|
1 |
p. 5-26
|
artikel
|
| 53 |
Market making and risk management in options markets
|
Boyd, Naomi E.
|
|
2014
|
|
1 |
p. 1-27
|
artikel
|
| 54 |
Martingale defects in the volatility surface and bubble conditions in the underlying
|
Stahl, Philip
|
|
|
|
1 |
p. 85-111
|
artikel
|
| 55 |
Modelling default contagion using multivariate phase-type distributions
|
Herbertsson, Alexander
|
|
2010
|
|
1 |
p. 1-36
|
artikel
|
| 56 |
Modelling jumps in electricity prices: theory and empirical evidence
|
Seifert, Jan
|
|
2007
|
|
1 |
p. 59-85
|
artikel
|
| 57 |
On pricing options with stressed-beta in a reduced form model
|
Kim, Geonwoo
|
|
2014
|
|
1 |
p. 29-50
|
artikel
|
| 58 |
On the multiplicity of option prices under CEV with positive elasticity of variance
|
Veestraeten, Dirk
|
|
2016
|
|
1 |
p. 1-13
|
artikel
|
| 59 |
On the primal-dual algorithm for callable Bermudan options
|
Mair, Maximilian L.
|
|
2012
|
|
1 |
p. 79-110
|
artikel
|
| 60 |
Optimal exercise of American put options near maturity: A new economic perspective
|
Battauz, Anna
|
|
|
|
1 |
p. 23-46
|
artikel
|
| 61 |
Option Bounds and the Pricing of the Volatility Smile
|
Jean Masson
|
|
2000
|
|
1 |
p. 29-53
25 p.
|
artikel
|
| 62 |
Option Bounds and the Pricing of the Volatility Smile
|
Masson, Jean
|
|
2000
|
|
1 |
p. 29-53
|
artikel
|
| 63 |
Option market making under inventory risk
|
Stoikov, Sasha
|
|
2009
|
|
1 |
p. 55-79
|
artikel
|
| 64 |
Option pricing and hedging under a stochastic volatility Lévy process model
|
Kim, Young Shin
|
|
2011
|
|
1 |
p. 81-97
|
artikel
|
| 65 |
Option Pricing Bounds and the Elasticity of the Pricing Kernel
|
James Huang
|
|
2004
|
|
1 |
p. 25-51
27 p.
|
artikel
|
| 66 |
Option Pricing Bounds and the Elasticity of the Pricing Kernel
|
Huang, James
|
|
2004
|
|
1 |
p. 25-51
|
artikel
|
| 67 |
Option Pricing Using Variance Gamma Markov Chains
|
Mikhail Konikov
|
|
2002
|
|
1 |
p. 81-115
35 p.
|
artikel
|
| 68 |
Option Pricing Using Variance Gamma Markov Chains
|
Konikov, Mikhail
|
|
2002
|
|
1 |
p. 81-115
|
artikel
|
| 69 |
Parametric modeling of implied smile functions: a generalized SVI model
|
Zhao, Bo
|
|
2012
|
|
1 |
p. 53-77
|
artikel
|
| 70 |
Path-dependent game options: a lookback case
|
Guo, Peidong
|
|
2013
|
|
1 |
p. 113-124
|
artikel
|
| 71 |
Preface
|
Bank, Peter
|
|
2009
|
|
1 |
p. 1-2
|
artikel
|
| 72 |
Price discovery in the U.S. stock and stock options markets: A portfolio approach
|
Holowczak, Richard
|
|
2006
|
|
1 |
p. 37-65
|
artikel
|
| 73 |
Pricing and risk of swing contracts in natural gas markets
|
Kohrs, Hendrik
|
|
2018
|
|
1 |
p. 77-167
|
artikel
|
| 74 |
Pricing average options under time-changed Lévy processes
|
Yamazaki, Akira
|
|
2013
|
|
1 |
p. 79-111
|
artikel
|
| 75 |
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
|
Ma, Zonggang
|
|
|
|
1 |
p. 47-91
|
artikel
|
| 76 |
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
|
Han, Yuecai
|
|
|
|
1 |
p. 37-53
|
artikel
|
| 77 |
Pricing levered warrants under the CEV diffusion model
|
Glória, Carlos Miguel
|
|
|
|
1 |
p. 55-84
|
artikel
|
| 78 |
Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
|
Estrada, Mariano CanÉ De
|
|
2005
|
|
1 |
p. 49-60
|
artikel
|
| 79 |
Pricing VIX derivatives with free stochastic volatility model
|
Lin, Wei
|
|
2018
|
|
1 |
p. 41-75
|
artikel
|
| 80 |
Pricing vulnerable basket spread options with liquidity risk
|
Dong, Ziming
|
|
|
|
1 |
p. 23-50
|
artikel
|
| 81 |
Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes
|
Liang, Gechun
|
|
|
|
1 |
p. 1-30
|
artikel
|
| 82 |
Quadratic hedging in affine stochastic volatility models
|
Kallsen, Jan
|
|
2009
|
|
1 |
p. 3-27
|
artikel
|
| 83 |
Structural default model with mutual obligations
|
Itkin, Andrey
|
|
2016
|
|
1 |
p. 15-46
|
artikel
|
| 84 |
Tempered stable structural model in pricing credit spread and credit default swap
|
Kim, Sung Ik
|
|
2017
|
|
1 |
p. 119-148
|
artikel
|
| 85 |
The determinants of CDS spreads: evidence from the model space
|
Pelster, Matthias
|
|
2017
|
|
1 |
p. 63-118
|
artikel
|
| 86 |
Theory of Storage and the Pricing of Commodity Claims
|
Martin J. Nielsen
|
|
2004
|
|
1 |
p. 5-24
20 p.
|
artikel
|
| 87 |
Theory of Storage and the Pricing of Commodity Claims
|
Nielsen, Martin J.
|
|
2004
|
|
1 |
p. 5-24
|
artikel
|
| 88 |
The performance of model based option trading strategies
|
Eraker, Bjørn
|
|
2012
|
|
1 |
p. 1-23
|
artikel
|
| 89 |
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective
|
Jarrow, R.
|
|
2007
|
|
1 |
p. 39-58
|
artikel
|
| 90 |
The αVG model for multivariate asset pricing: calibration and extension
|
Guillaume, Florence
|
|
2012
|
|
1 |
p. 25-52
|
artikel
|
| 91 |
Time consistent pricing of options with embedded decisions
|
Dorfleitner, G.
|
|
|
|
1 |
p. 85-119
|
artikel
|
| 92 |
Towards a Δ-Gamma Sato multivariate model
|
Boen, Lynn
|
|
|
|
1 |
p. 1-39
|
artikel
|
| 93 |
Tractable hedging with additional hedge instruments
|
Branger, Nicole
|
|
2010
|
|
1 |
p. 85-114
|
artikel
|
| 94 |
Uncertain strike lookback options pricing with floating interest rate
|
Zhang, Lidong
|
|
|
|
1 |
p. 79-94
|
artikel
|
| 95 |
Valuation of a Credit Swap of the Basket Type
|
Masaaki Kijima
|
|
2000
|
|
1 |
p. 81-97
17 p.
|
artikel
|
| 96 |
Valuation of a Credit Swap of the Basket Type
|
Kijima, Masaaki
|
|
2000
|
|
1 |
p. 81-97
|
artikel
|
| 97 |
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
|
Torricelli, Lorenzo
|
|
2015
|
|
1 |
p. 1-39
|
artikel
|
| 98 |
Valuing American-style options under the CEV model: an integral representation based method
|
Cruz, Aricson
|
|
|
|
1 |
p. 63-83
|
artikel
|
| 99 |
Valuing fade-in options with default risk in Heston–Nandi GARCH models
|
Wang, Xingchun
|
|
|
|
1 |
p. 1-22
|
artikel
|
| 100 |
Valuing reload options
|
Ingersoll, Jonathan E.
|
|
2006
|
|
1 |
p. 67-105
|
artikel
|
| 101 |
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
|
Dierkes, Maik
|
|
|
|
1 |
p. 1-35
|
artikel
|
| 102 |
Window Double Barrier Options
|
Tristan Guillaume
|
|
2003
|
|
1 |
p. 47-75
29 p.
|
artikel
|
| 103 |
Window Double Barrier Options
|
Guillaume, Tristan
|
|
2003
|
|
1 |
p. 47-75
|
artikel
|
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