Journal Article |
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3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Note on the Pricing of Commodity-Linked Bonds |
0 |
0 |
0 |
80 |
0 |
0 |
0 |
173 |

A PDE approach to jump-diffusions |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
63 |

A Simple Robust Link Between American Puts and Credit Protection |
0 |
1 |
3 |
33 |
1 |
5 |
11 |
112 |

A class of Levy process models with almost exact calibration to both barrier and vanilla FX options |
0 |
0 |
0 |
24 |
1 |
2 |
3 |
91 |

A functional analysis approach to the static replication of European options |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |

A jump to default extended CEV model: an application of Bessel processes |
0 |
0 |
0 |
42 |
0 |
0 |
1 |
237 |

A new approach for option pricing under stochastic volatility |
0 |
0 |
0 |
132 |
0 |
0 |
4 |
298 |

A note on sufficient conditions for no arbitrage |
0 |
1 |
3 |
85 |
0 |
4 |
12 |
234 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
3 |
35 |
0 |
1 |
11 |
121 |

Additive logistic processes in option pricing |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
10 |

An Expanded Local Variance Gamma Model |
1 |
1 |
1 |
3 |
1 |
1 |
2 |
8 |

Analyzing volatility risk and risk premium in option contracts: A new theory |
2 |
4 |
12 |
113 |
3 |
8 |
29 |
400 |

Bounded Brownian Motion |
0 |
0 |
0 |
14 |
0 |
1 |
2 |
84 |

Convex duality in continuous option pricing models |
1 |
1 |
1 |
1 |
1 |
2 |
2 |
2 |

Decomposing Long Bond Returns: A Decentralized Theory* |
0 |
0 |
3 |
5 |
1 |
2 |
13 |
15 |

FX options in target zones |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
19 |

Factor Models for Option Pricing |
1 |
1 |
7 |
31 |
1 |
3 |
12 |
75 |

First-order calculus and option pricing |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
31 |

From local volatility to local Levy models |
1 |
1 |
2 |
4 |
1 |
1 |
2 |
23 |

HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
23 |

Hedging insurance books |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
24 |

Hedging variance options on continuous semimartingales |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
88 |

Joint modeling of VIX and SPX options at a single and common maturity with risk management applications |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
12 |

LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES |
2 |
2 |
2 |
10 |
2 |
3 |
4 |
31 |

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions |
0 |
0 |
0 |
13 |
0 |
0 |
2 |
53 |

MAXIMUM DRAWDOWN INSURANCE |
0 |
0 |
1 |
6 |
0 |
0 |
1 |
28 |

On the Numerical Evaluation of Option Prices in Jump Diffusion Processes |
0 |
0 |
1 |
59 |
0 |
0 |
3 |
162 |

On the hedging of options on exploding exchange rates |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
68 |

On the qualitative effect of volatility and duration on prices of Asian options |
0 |
0 |
1 |
20 |
0 |
0 |
3 |
91 |

Optimal investment in derivative securities |
0 |
0 |
0 |
221 |
0 |
0 |
0 |
765 |

Optimal positioning in derivative securities |
0 |
0 |
9 |
132 |
1 |
3 |
27 |
371 |

Optimal rates from eigenvalues |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
12 |

Option Profit and Loss Attribution and Pricing: A New Framework |
1 |
2 |
11 |
45 |
2 |
9 |
38 |
228 |

Options on realized variance and convex orders |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
4 |

Pricing and hedging in incomplete markets |
0 |
0 |
2 |
122 |
0 |
1 |
4 |
263 |

Pricing options on realized variance |
0 |
0 |
0 |
64 |
0 |
0 |
3 |
245 |

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
101 |

Randomization and the American Put |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
252 |

Robust replication of volatility and hybrid derivatives on jump diffusions |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |

SELF‐DECOMPOSABILITY AND OPTION PRICING |
0 |
0 |
1 |
34 |
0 |
1 |
3 |
96 |

SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS |
0 |
0 |
3 |
5 |
0 |
0 |
3 |
13 |

Seabirds enhance coral reef productivity and functioning in the absence of invasive rats |
0 |
0 |
1 |
2 |
0 |
0 |
2 |
5 |

Semi-Robust Replication of Barrier-Style Claims on Price and Volatility |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
2 |

Spiking the Volatility Punch |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
7 |

Static Hedging of Standard Options |
0 |
0 |
1 |
16 |
0 |
0 |
2 |
56 |

Static Hedging of Standard Options |
0 |
0 |
2 |
4 |
1 |
1 |
8 |
27 |

Static replication of European standard dispersion options |
0 |
1 |
2 |
3 |
0 |
2 |
3 |
6 |

Stochastic Volatility for Lévy Processes |
0 |
0 |
1 |
83 |
0 |
0 |
3 |
235 |

Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies |
0 |
0 |
1 |
79 |
1 |
4 |
6 |
333 |

Stochastic skew in currency options |
0 |
0 |
2 |
132 |
0 |
0 |
4 |
451 |

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation |
1 |
2 |
6 |
86 |
1 |
2 |
8 |
373 |

THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS |
0 |
0 |
4 |
11 |
1 |
1 |
5 |
23 |

The Fine Structure of Asset Returns: An Empirical Investigation |
0 |
0 |
0 |
240 |
0 |
1 |
4 |
893 |

The Finite Moment Log Stable Process and Option Pricing |
0 |
0 |
2 |
5 |
0 |
1 |
4 |
23 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
2 |
2 |
7 |
453 |
6 |
9 |
23 |
1,290 |

The Valuation of Executive Stock Options in an Intensity-Based Framework |
1 |
1 |
1 |
3 |
1 |
1 |
2 |
33 |

The Variance Gamma Process and Option Pricing |
6 |
9 |
31 |
147 |
7 |
18 |
82 |
480 |

Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options |
0 |
1 |
2 |
48 |
0 |
2 |
7 |
168 |

Time-changed Levy processes and option pricing |
0 |
4 |
7 |
240 |
1 |
8 |
24 |
726 |

Two extensions to barrier option valuation |
0 |
0 |
7 |
44 |
0 |
0 |
8 |
125 |

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
53 |

Variance Risk Premiums |
1 |
3 |
11 |
147 |
2 |
7 |
25 |
499 |

Variance Risk Premiums |
2 |
4 |
12 |
20 |
3 |
8 |
33 |
88 |

Variance swaps on time-changed Lévy processes |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
62 |

Variation and share-weighted variation swaps on time-changed Lévy processes |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
30 |

Volatility Derivatives |
2 |
4 |
7 |
148 |
2 |
8 |
22 |
452 |

What Type of Process Underlies Options? A Simple Robust Test |
0 |
0 |
1 |
40 |
1 |
3 |
5 |
212 |

Total Journal Articles |
24 |
45 |
174 |
3,389 |
42 |
126 |
496 |
11,582 |