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The profitability of volatility spread trading on ASX equity options

Do, Binh; Foster, Anthony; Gray, Philip K. - In: The journal of futures markets 36 (2016) 2, pp. 107-126

Persistent link: https://www.econbiz.de/10011568018

The evolving dynamics of the Australian SPI 200 implied volatility surface

Tanha, Hassan; Dempsey, Michael - In: Journal of international financial markets, … 43 (2016), pp. 44-57

Persistent link: https://www.econbiz.de/10011673487

The market premium for the option to close : evidence from Australian gold mining firms

Kelly, Simone - In: Accounting and finance : journal of the Accounting … 57 (2017) 2, pp. 511-531

Persistent link: https://www.econbiz.de/10011756417

Equity-linked executive compensation, hedging and foreign exchange exposure : Australian evidence

Loriot, Blake; Hutson, Elaine; Au Yong, Hue Hwa - In: Australian journal of management 45 (2020) 1, pp. 72-93

Persistent link: https://www.econbiz.de/10012175234

The paradoxical prices of options

Marcato, Gianluca; Sebehela, Tumellano - In: Review of Pacific Basin financial markets and policies … 25 (2022) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10013370943

Pricing synthetic CDOs using a three regime Random-Factor-Loading Model

Messow, Philip - 2012

Synthetic Collateralized Debt Obligations (CDOs) were among the driving forces of the rapid growth of the market for credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is the Random-Factor-Loading-Model of Andersen and Sidenius...