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Purebred or hybrid?: Reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun
;
Dittmar, Robert F.
;
Gallant, A. Ronald
; …
- In:
Journal of Econometrics
116
(
2003
)
1-2
,
pp. 147-180
Persistent link: https://www.econbiz.de/10005238939
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2
The adaptive mesh model: a new approach to efficient option pricing
Figlewski, Stephen
;
Gao, Bin
- In:
Journal of Financial Economics
53
(
1999
)
3
,
pp. 313-351
Persistent link: https://www.econbiz.de/10005376791
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3
An empirical investigation on funding liquidity and market liquidity
Chung, Ji-Yeong
;
Ahn, Dong-Hyun
;
In Seok Baek
;
Kang, Kyu Ho
- In:
Review of finance : journal of the European Finance …
22
(
2018
)
3
,
pp. 1213-1247
Persistent link: https://www.econbiz.de/10012005284
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4
Why has the size effect disappeared?
Ahn, Dong-Hyun
;
Min, Byoung-Kyu
;
Yoon, Bohyun
- In:
Journal of banking & finance
102
(
2019
),
pp. 256-276
Persistent link: https://www.econbiz.de/10012162781
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5
Self-fulfilling arbitrages necessitate crash risk
Ahn, Dong-Hyun
;
Kim, Soohun
;
Seo, Kyoungwon
- In:
Journal of financial markets
51
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10013536207
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6
An American call is worth more than a European call : the value of American exercise when the market is not perfectly liquid
Figlewski, Stephen
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
3
,
pp. 1023-1057
Persistent link: https://www.econbiz.de/10013187327
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7
Derivatives valuation based on arbitrage : the trade is crucial
Figlewski, Stephen
- In:
The journal of futures markets
37
(
2017
)
4
,
pp. 316-327
Persistent link: https://www.econbiz.de/10011950673
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8
Risk-neutral densities : a review
Figlewski, Stephen
- In:
Annual review of financial economics
10
(
2018
),
pp. 329-359
Persistent link: https://www.econbiz.de/10011959837
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9
Intraday sentiment and market returns
Gao, Bin
;
Liu, Xihua
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 48-62
Persistent link: https://www.econbiz.de/10012486317
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10
A futures pricing model with long-term and short-term traders
Gao, Bin
;
Xie, Jun
;
Jia, Yun
- In:
International review of economics & finance : IREF
64
(
2019
),
pp. 9-28
Persistent link: https://www.econbiz.de/10012322219
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