Volume 26, Issue 2-3 | Review of Derivatives Research

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Volume 26, Issue 2-3

October 2023

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2 articles in this issue

Implied volatility surfaces: a comprehensive analysis using half a billion option prices
Maxim Ulrich
Lukas Zimmer
Constantin Merbecks
OriginalPaper Open access 30 September 2023 Pages: 135 - 169
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model
Frédéric Godin
Ramin Eghbalzadeh
Patrice Gaillardetz
OriginalPaper 04 October 2023 Pages: 171 - 206