Volatility
Selling risk at a premium
Option strategies
Exotic spectra
Eigenfunction expansions can also be applied to finance. The method is particularly suited to barrier and Asian options, with convergence properties that compare favourably with Monte Carlo.
Great realisations
Volatility estimation
Calibrating random volatility
Stochastic volatility
Volatility swaps made simple
Volatility
If the skew fits
Volatility
Pricing with a smile
Bruno Dupire shows how the Black-Scholes model can be extended tomake it compatible with observed market volatility smiles, allowingconsistent pricing and hedging of exotic options