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Option prices and stock market momentum : evidence from China
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng F. - In: Quantitative finance 18 (2018) 9, pp. 1517-1529
Persistent link: https://www.econbiz.de/10011913187
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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
Hua, Qiuling; Jiang, Tingfeng; Cheng, Zhang - In: Quantitative finance 18 (2018) 9, pp. 1501-1515
Persistent link: https://www.econbiz.de/10011913179
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Ensuring more is better : on the simultaneous application of stock and options data to estimate the GARCH options pricing model
Chang, Charles; Cheng, Hung-Wen; Fuh, Cheng-Der - In: The journal of derivatives : the official publication … 26 (2018) 1, pp. 7-25
Persistent link: https://www.econbiz.de/10011968669
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A GARCH parameterization of the volatility surface
Mazzoni, Thomas - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 9-24
Persistent link: https://www.econbiz.de/10011399795
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Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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GARCH option valuation : theory and evidence
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 8-41
Persistent link: https://www.econbiz.de/10010358127
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Fast analytic option valuation with GARCH
Mazzoni, Thomas - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 18-38
Persistent link: https://www.econbiz.de/10008655530
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Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106