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Review of Derivatives Research

Issue 1/2019

Content (4 Articles)

A general closed form option pricing formula

Ciprian Necula, Gabriel Drimus, Walter Farkas

Pricing VIX derivatives with free stochastic volatility model

Wei Lin, Shenghong Li, Shane Chern, Jin E. Zhang

Pricing and risk of swing contracts in natural gas markets

Hendrik Kohrs, Hermann Mühlichen, Benjamin R. Auer, Frank Schuhmacher

Is trading in the shortest-term index options profitable?

Ging-Ginq Pan, Yung-Ming Shiu, Tu-Cheng Wu

Oct 18
Issue: 3/2018
Jul 19
Issue: 2/2019

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