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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
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The most simple methodology to create a valid correlation matrix for risk management and option pricing purposes
Simonian, Joseph - In: Applied economics letters 17 (2010) 16/18, pp. 1767-1768
Persistent link: https://www.econbiz.de/10009232146
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Loss distribution of interbank contagion risk
Li, Shouwei; Sui, Xin; Xu, Tao - In: Applied economics letters 22 (2015) 10/12, pp. 830-834
Persistent link: https://www.econbiz.de/10011286074
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Inverse Gaussian random variables with application to price indices
Nadarajah, Saralees; Kotz, Samuel - In: Applied economics letters 14 (2007) 7/9, pp. 673-677
Persistent link: https://www.econbiz.de/10003512306
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Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael; … - In: Applied economics letters 27 (2020) 3, pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
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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
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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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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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Delta-hedged gains of SSE 50 ETF options
Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics letters 29 (2022) 20, pp. 1864-1867
Persistent link: https://www.econbiz.de/10013412320
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Correlation evidence in the dynamics of agricultural commodity prices
Boroumand, Raphaël Homayoun; Goutte, Stephane; … - In: Applied economics letters 21 (2014) 16/18, pp. 1238-1242
Persistent link: https://www.econbiz.de/10010465638