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Review of Derivatives Research

Issue 2/2021

Content (4 Articles)

Open Access

The impact of the leverage effect on the implied volatility smile: evidence for the German option market

A. W. Rathgeber, J. Stadler, S. Stöckl

A model-free approach to multivariate option pricing

Carole Bernard, Oleg Bondarenko, Steven Vanduffel

Bayesian estimation of the stochastic volatility model with double exponential jumps

Jinzhi Li

The value of power-related options under spectrally negative Lévy processes

Jean-Philippe Aguilar

Apr 21
Issue: 1/2021
Oct 21
Issue: 3/2021

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