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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

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

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

This article investigates the performance of affine option pricing models in the context of the Australian Standard & Poor's (S&P)/Australian Stock Exchange (ASX) 200 index option market. This investigation is done through the implicit estimation of the risk neutral parameters of affine option...

Persistent link: https://www.econbiz.de/10003963448

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

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

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

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

An examination of the Oslo Stock Exchange options market

Berg, Egil - In: Applied financial economics 6 (1996) 2, pp. 103-113

Persistent link: https://www.econbiz.de/10001198681

Hedging with weather derivatives : a role for options in reducing basis risk

Manfredo, Mark R.; Richards, Timothy J. - In: Applied financial economics 19 (2009) 1/3, pp. 87-97

specific hedging role for options. The results suggest that weather derivative instruments with nonlinear pay-offs, such as …

Persistent link: https://www.econbiz.de/10003825820

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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