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~isPartOf:"Applied economics letters"
~isPartOf:"Review of derivatives research"
~person:"Nie, He"
~person:"Ronn, Ehud I."
~person:"Wang, Xingchun"
~subject:"GARCH models"
~subject:"Option pricing theory"
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GARCH models
Option pricing theory
Optionspreistheorie
11
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Bachelier vs. Black option models
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Nie, He
Ronn, Ehud I.
Wang, Xingchun
Jarrow, Robert A.
4
Ritchken, Peter H.
4
Ryu, Doojin
4
Zhang, Jin E.
4
Escobar, Marcos
3
Guillaume, Florence
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Lyuu, Yuh-dauh
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Applied economics letters
Review of derivatives research
Finance research letters
7
The North American journal of economics and finance : a journal of financial economics studies
6
The European journal of finance
3
The journal of futures markets
3
International review of economics & finance : IREF
2
Advances in futures and options research : a research annual
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1
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Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 1
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ECONIS (ZBW)
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1
The valuation and information content of options on crude-oil futures contracts
Murphy, Finbarr
;
Ronn, Ehud I.
- In:
Review of derivatives research
18
(
2015
)
2
,
pp. 95-106
Persistent link: https://www.econbiz.de/10011477287
Saved in:
2
Pricing European basket warrants with default risk under stochastic volatility models
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
3
,
pp. 253-260
Persistent link: https://www.econbiz.de/10012803500
Saved in:
3
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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4
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
5
Valuing vulnerable options with bond collateral
Wang, Guanying
;
Wang, Xingchun
- In:
Applied economics letters
28
(
2021
)
2
,
pp. 115-118
Persistent link: https://www.econbiz.de/10012415094
Saved in:
6
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun
;
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
Saved in:
7
Valuing vulnerable options with two underlying assets
Wang, Xingchun
- In:
Applied economics letters
27
(
2020
)
21
,
pp. 1699-1706
Persistent link: https://www.econbiz.de/10012315771
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8
Pricing options on the maximum of two average prices under stochastic volatility models
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
10
,
pp. 887-894
Persistent link: https://www.econbiz.de/10013411818
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9
Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
12
,
pp. 1060-1068
Persistent link: https://www.econbiz.de/10013412038
Saved in:
10
Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza
;
Ronn, Ehud I.
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
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