Ausgabe 1/2024
Inhalt (4 Artikel)
Open Access
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
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
Open Access
Pricing levered warrants under the CEV diffusion model
Carlos Miguel Glória, José Carlos Dias, Aricson Cruz
Open Access
Martingale defects in the volatility surface and bubble conditions in the underlying
Philip Stahl, Jérôme Blauth