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Analytical approximation for the price dynamics of spark spread options
Benth, Fred Espen (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10003559113
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Pricing and hedging Asian-style options on energy
Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
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Asymmetric mispricing and regime-dependent dynamics in index futures and options markets
Lee, Jaeram; Ryu, Doojin - In: Asian economic journal : journal of the East Asian … 30 (2016) 1, pp. 47-65
Persistent link: https://www.econbiz.de/10011525887
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Reward-risk momentum strategies using classical tempered stable distribution
Choi, Jaehyung; Kim, Young Shin; Mitov, Ivan - In: Journal of banking & finance 58 (2015), pp. 194-213
Persistent link: https://www.econbiz.de/10011543976
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Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
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Intraday option price changes and net buying pressure
Ryu, Doojin; Yang, Heejin - In: Applied economics letters 29 (2022) 4, pp. 292-297
Persistent link: https://www.econbiz.de/10012803523
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Accuracy of deep learning in calibrating HJM forward curves
Benth, Fred Espen; Detering, Nils; Lavagnini, Silvia - In: Digital finance : smart data analytics, investment … 3 (2021) 3/4, pp. 209-248
Persistent link: https://www.econbiz.de/10012697962
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773