SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Volatility and Dividends - Volatility Modelling with Cash Dividends and Simple Credit Risk
10 references·0 citing·34 second hop
Volatility and Dividends - Volatility Modelling with Cash Dividends and Simple Credit Risk (2008)Volatility and Dividends - Volatility Mod…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Equity Hybrid Derivatives (2007)Equity Hybrid DerivativesVolatility Markets: Consistent Modeling, Hedging and Practical Implementation (2006)Volatility Markets: Consisten…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Efficient Pricing of Derivatives on Assets with Discrete Dividends (2006)Efficient Pricing of Derivati…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Hazard rate for credit risk and hedging defaultable contingent claims (2004)Hazard rate for credit risk a…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Back to Basics: a new approach to the discrete dividend problem (2003)Back to Basics: a new approac…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (2021)Martingales and arbitrage in multiperiod securities markets (1979)Theory of rational option pricing (2005)Closed Formula for Options with Discrete Dividends and Its Derivatives (2009)Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps (2018)Martingale Methods in Financial Modelling (1997)On cox processes and credit risky securities (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (2004)Hedging of Defaultable Claims (2004)Non-zero-sum stochastic differential reinsurance and investment games with default risk (2017)The pricing of commodity contracts (1976)A Jump-Diffusion Model for Option Pricing (2002)Option pricing by transform methods: extensions, unification and error control (2004)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)Theory of Rational Option Pricing (1973)A tree-based method to price American options in the Heston model (2009)Finite-Element Methods (2012)Arbitrage Theory in Continuous Time (1998)Facts and Fantasies about Commodity Futures (2006)A critical review on supply chain risk – Definition, measure and modeling (2014)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Tails, Fears, and Risk Premia (2011)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)Expensive martingales (2006)Estimation for stochastic differential equations with a small diffusion coefficient (2008)Local Volatility Pricing Models for Long-Dated FX Derivatives (2012)
this work references cited by second hop

References

  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2004Hazard rate for credit risk and hedging defaultable contingent claims121 cited
  • 2006Efficient Pricing of Derivatives on Assets with Discrete Dividends80 cited
  • 2007Equity Hybrid Derivatives66 cited
  • 2003Back to Basics: a new approach to the discrete dividend problem49 cited
  • 2006Volatility Markets: Consistent Modeling, Hedging and Practical Implementation29 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work