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Volatility spillovers in Australian electricity markets
Han, Lin; Kordzakhia, Nino; Trück, Stefan - In: Energy economics 90 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012517199
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Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Economics letters 145 (2016), pp. 225-229
Persistent link: https://www.econbiz.de/10011618437
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Pricing derivatives in hermite markets
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Mittnik, Stefan - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10012153100
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Financial markets with no riskless (safe) asset
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander; Kim, Young Shin; Račev, Svetlozar T.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 167-177
Persistent link: https://www.econbiz.de/10009739605
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Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
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Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Finance research letters 28 (2019), pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
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Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Econometric reviews 40 (2021) 3, pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
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Option pricing with greed and fear factor : the rational finance approach
Shirvani, Abootaleb; Fabozzi, Frank J.; Racheva-Iotova, … - In: The journal of derivatives : JOD 29 (2021) 2, pp. 77-119
Persistent link: https://www.econbiz.de/10012698127