Home
About
Advanced Search
Browse by Discipline
Scientific Societies
E-print Alerts
Add E-prints
FAQ
•
HELP
•
SITE MAP
•
CONTACT US
Search
Advanced Search
Lee, Roger - Department of Mathematics, University of Chicago
On the Black-Scholes Implied Volatility at Extreme Strikes
Robust Replication of Volatility Derivatives and Roger Lee
Realized Volatility Options University of Chicago
THE SMALL-TIME SMILE AND TERM STRUCTURE OF IMPLIED VOLATILITY UNDER THE HESTON MODEL
Put-Call Symmetry: Extensions and Applications and Roger Lee
The Moment Formula for Implied Volatility at Extreme Strikes Roger W. Lee
Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation
Variance Swaps on Time-Changed Levy Processes Peter Carr Roger Lee Liuren Wu
Option Pricing by Transform Methods: Extensions, Unification, and Error Control
Variation and Share-Weighted Variation Swaps on Time-Changed Levy Processes
Annals of Finance manuscript No. (will be inserted by the editor)
Weighted Variance Swap University of Chicago
Corridor Variance Swap University of Chicago
University of Chicago December 29, 2008
Hedging Variance Options on Continuous Semimartingales and Roger Lee
Realized Volatility and Variance: Options via Swaps and Roger Lee
