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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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A comparison of pricing and hedging performances of equity derivatives models
Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137
Persistent link: https://www.econbiz.de/10011848262
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The power of deterministic option-implied trees in pricing European options
Elyasiani, Elyas; Muzzioli, Silvia - In: Applied economics 54 (2022) 22, pp. 2596-2609
Persistent link: https://www.econbiz.de/10013171107
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The Bitcoin options market : a first look at pricing and risk
Jalan, Akanksha; Matkovskyy, Roman; Aziz, Saqib - In: Applied economics 53 (2021) 17, pp. 2026-2041
Persistent link: https://www.econbiz.de/10012500934
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The implied volatility smirk in SPY options
Guo, Wei; Gehricke, Sebastian A.; Ruan, Xinfeng; Zhang, … - In: Applied economics 53 (2021) 23, pp. 2671-2692
Persistent link: https://www.econbiz.de/10012501393
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The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.; Zhang, Jin E. - In: Applied economics 52 (2020) 8, pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
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What explains long memory in futures price volatility?
Power, G. J.; Turvey, Calum Greig - In: Applied economics 43 (2011) 22/24, pp. 3395-3404
Persistent link: https://www.econbiz.de/10009357366
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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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A new class of discrete-time stochastic volatility model with correlated errors
Mukhoti, Sujay; Ranjan, Pritam - In: Applied economics 51 (2019) 3, pp. 259-277
Persistent link: https://www.econbiz.de/10012160495
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Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes
Endres, Sylvia; Stübinger, Johannes - In: Applied economics 51 (2019) 29, pp. 3153-3169
Persistent link: https://www.econbiz.de/10012196804