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Pricing vulnerable options with jump clustering
Ma, Yong; Shrestha, Keshab; Xu, Weidong - In: The journal of futures markets 37 (2017) 12, pp. 1155-1178
Persistent link: https://www.econbiz.de/10011951026
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Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
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Comment: "On approximating deep in-the-money Asian options under exponential Lévy Processes"
Sun, Xianming; Haesen, Dorien; Vanmaele, Michèle - In: The journal of futures markets 35 (2015) 12, pp. 1220-1221
Persistent link: https://www.econbiz.de/10011546256
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Option pricing under skewness and kurtois using a Cornish-Fisher expansion
Aboura, Sofiane; Maillard, Didier - In: The journal of futures markets 36 (2016) 12, pp. 1194-1209
Persistent link: https://www.econbiz.de/10011665615
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Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
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Option pricing with the realized GARCH model : an analytical approximation approach
Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard - In: The journal of futures markets 37 (2017) 4, pp. 328-358
Persistent link: https://www.econbiz.de/10011950674
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Pricing American options with stochastic volatility : evidence from S&P 500 futures options
Lim, Kian-Guan; Guo, Xiaoqiang - In: The journal of futures markets 20 (2000) 7, pp. 625-659
Persistent link: https://www.econbiz.de/10001523740
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Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging
Chang, Carolyn C. W.; Chang, Jack S. K. - In: The journal of futures markets 23 (2003) 12, pp. 1209-1237
Persistent link: https://www.econbiz.de/10001828531
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Valuing credit derivatives using Gaussian quadrature : a stochastic volatility framework
Tahani, Nabil - In: The journal of futures markets 24 (2004) 1, pp. 3-35
Persistent link: https://www.econbiz.de/10001850811
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Canonical valuation of options in the presence of stochastic volatility
Gray, Philip K.; Newman, Scott - In: The journal of futures markets 25 (2005) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10002528167