Issue 1/2024
Content (4 Articles)
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
- Open Access
Maik Dierkes, Jan Krupski, Sebastian Schroen, Philipp Sibbertsen
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
Yuecai Han, Fengtong Zhang
Pricing levered warrants under the CEV diffusion model
- Open Access
Carlos Miguel Glória, José Carlos Dias, Aricson Cruz
Martingale defects in the volatility surface and bubble conditions in the underlying
- Open Access
Philip Stahl, Jérôme Blauth
