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Spanning tests for options using principal components methods
Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746
Persistent link: https://www.econbiz.de/10003491227
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Implied volatility smiles in the Nikkei 225 options
Fukuta, Yuichi; Wenjie Ma - In: Applied financial economics 23 (2013) 7/9, pp. 789-804
Persistent link: https://www.econbiz.de/10009750979
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Calibrated GARCH models and exotic options
Kanniainen, Juho; Halme, Tero - In: Applied financial economics 23 (2013) 4/6, pp. 403-414
Persistent link: https://www.econbiz.de/10009718911
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The effect of interest rate volatility on treasury yields
Sarkar, Sudipto; Mohamed Ariff - In: Applied financial economics 12 (2002) 9, pp. 667-672
Persistent link: https://www.econbiz.de/10001688989
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Bid-ask spread, strike prices and risk-neutral densities
Liu, Xiaoquan - In: Applied financial economics 17 (2007) 10/12, pp. 887-900
Persistent link: https://www.econbiz.de/10003538047
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The interactions between trading volume and volatility : evidence from the equity options markets
Park, Tae H.; Switzer, Lorne N.; Bedrossian, Robert - In: Applied financial economics 9 (1999) 6, pp. 627-637
Persistent link: https://www.econbiz.de/10001525295
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Pricing generalized capped exchange options
Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 7/9, pp. 765-776
Persistent link: https://www.econbiz.de/10003739384
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Empirical performance of affine option pricing models : evidence from the Australian index options market
Sharp, Timothy; Li, Steven; Allen, David E. - In: Applied financial economics 20 (2010) 4/6, pp. 501-514
2001 and December 2006. In particular, Stochastic Volatility (SV) and jumps in both price and volatility are considered … volatility, while put options are best modelled with a process that allows SV and jumps in price (but not in volatility). Under …
Persistent link: https://www.econbiz.de/10003963448
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Pricing gold options under Markov-modulated jump-diffusion processes
Lin, Shih-kuei; Lian, Yu-Min; Liao, Szu-Lang - In: Applied financial economics 24 (2014) 10/12, pp. 825-836
Persistent link: https://www.econbiz.de/10010402550
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Pricing futures options with basis risk : evidence from S&P 500 futures options
Wang, Chou-wen; Wu, Ting-yi - In: Applied financial economics 18 (2008) 18/21, pp. 1561-1567
Persistent link: https://www.econbiz.de/10003799965