Narrow search
Showing 1 - 10 of 307
Cover Image
Sovereign rating actions and the implied volatility of stock index options
Tran, Vu; Alsakka, Rasha; Ap Gwilym, Owain - In: International review of financial analysis 34 (2014), pp. 101-113
Persistent link: https://www.econbiz.de/10010528470
Cover Image
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
Cover Image
Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
Cover Image
Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Jin, Xing; Hong, Yi - In: International review of financial analysis 87 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014457699
Cover Image
Calculating implied volatility using the bisection algorithm : a note
Berry, R. H.; Zuo, X. - In: Applied economics letters 16 (2009) 13/15, pp. 1399-1402
Persistent link: https://www.econbiz.de/10003894265
Cover Image
On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
Cover Image
A new approach for computing option prices of the Hull-White type with stepwise reversion and volatility finctions
Jin, Hui; Gotoh, Jun-ya; Sumita, Ushio - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 67-85
Persistent link: https://www.econbiz.de/10003611518
Cover Image
Pricing and hedging volatility derivatives
Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
Cover Image
A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
Cover Image
Improved implementation of local volatility and its application to S&P 500 Index options
Orosi, Greg - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 53-64
Persistent link: https://www.econbiz.de/10003961021