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4 research outputs found
A scaled version of the double-mean-reverting model for VIX derivatives
Author
AR Gallant
B Oksendal
+23 more
C Bayer
D Brigo
DS Bates
FD Rouah
G Papanicolaou
GB Folland
Jaegi Jeon
Jeong-Hoon Kim
Jeonggyu Huh
JP Fouque
JP Fouque
JP Fouque
M Brenner
M Chernov
O Brockhaus
P Carr
P Christoffersen
P Gauthier
RE Whaley
T Adrian
TG Andersen
WuL Huang Jz
Z Lu
Publication venue
'Springer Science and Business Media LLC'
Publication date
Field of study
No full text
Crossref
Empirical competitiveness of deterministic option pricing models: Evidences from the recent waves of financial upheavals in India
Author
B Blair
B Dumas
+28 more
B Mandelbrot
BJ Christensen
DC Emanuel
E Derman
F Black
FD Rouah
G Bakshi
J Cox
J Cox
J Hull
J Shu
JB Wiggins
JC Cox
L Canina
LH Ederington
M Edey
M Rubinstein
M Rubinstein
P Christoffersen
Pushkar Pachori
R Heynen
S Beckers
S Heston
S Heston
S Mayhew
TE Day
V Naik
Vipul Kumar Singh
Publication venue
'Springer Science and Business Media LLC'
Publication date
Field of study
No full text
Crossref
A Spectral Approach to Pricing of Arbitrage-Free SABR Discrete Barrier Options
Author
AE Lindsay
B Dupire
+30 more
DM Pooley
DT Breeden
Désiré Yannick Tangman
EG Haug
F Black
F Black
F Fang
F Floc’h Le
FD Rouah
H Berestycki
J Cox
J Oblój
LN Trefethen
LN Trefethen
Louis Paulot
M Broadie
M Schroder
Muddun Bhuruth
N Thakoor
N Yang
Nawdha Thakoor
P Doust
P Hagan
PS Hagan
PS Hagan
R Rebonato
SG Kou
T Schmelzer
TL Wu
Y Tian
Publication venue
'Springer Science and Business Media LLC'
Publication date
Field of study
No full text
Crossref
Integrating volatility factors in the analysis of the hedge fund alpha puzzle
Author
A Coën
A Coën
+51 more
A Kraus
CR Harvey
CT Watson
D Capocci
DB Nelson
E Jurczenko
EF Fama
EF Fama
EF Fama
F Black
F-S Lhabitant
FD Rouah
FE Racicot
FE Racicot
FE Racicot
FE Racicot
FE Racicot
François-Éric Racicot
HM Kat
HW Chan
J Durbin
J Ingersoll
J Ingersoll
JA Christopherson
K-G Lim
L Jaeger
M Mitchell
M Pal
M Rubinstein
MG Dagenais
MM Carhart
N Jegadeesh
NF Chen
PA Samuelson
R Dittmar
R McDonald
R Théoret
Raymond Théoret
RC Scott
RF Engle
T Bollerslev
V Agarwal
V Agarwal
W Fung
W Fung
W Sharpe
W Sharpe
WE Ferson
WE Ferson
YP Chung
É Dubé
Publication venue
'Springer Science and Business Media LLC'
Publication date
Field of study
No full text
Crossref
No full text
