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Seasonal processes in the Euro-US Dollar daily exchange rate
Cellini, Roberto; Cuccia, Tiziana - In: Applied financial economics 24 (2014) 1/3, pp. 161-174
Persistent link: https://www.econbiz.de/10010391453
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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 …Weather derivatives represent an important financial innovation for risk management. As with the use of any derivatives … contract, the behaviour of the basis ultimately determines the net-hedged outcome. However, when using weather derivatives to …
Persistent link: https://www.econbiz.de/10003825820
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Hedging with zero-value at risk hedge ratio
Hung, Jui-cheng; Chiu, Chien-liang; Lee, Mingchih - In: Applied financial economics 16 (2006) 3, pp. 259-269
Persistent link: https://www.econbiz.de/10003291892
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An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility
Su, Yong-chern; Chen, Ming-da; Huang, Han-Ching - In: Applied financial economics 20 (2010) 10/12, pp. 899-910
Persistent link: https://www.econbiz.de/10009009807
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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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Pricing Taiwan option market with GARCH and stochastic volatility
Huang, Hung-hsi; Wang, Ching-ping; Chen, Shiau-hung - In: Applied financial economics 21 (2011) 10/12, pp. 747-754
Persistent link: https://www.econbiz.de/10009231596
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The link between monetary policy and stock and bond markets : evidence from the federal funds futures contract
Gulley, Orrin David; Sultan, Jahangir - In: Applied financial economics 13 (2003) 3, pp. 199-209
Persistent link: https://www.econbiz.de/10001742870
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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
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
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On the future contract quality option : a new look
Balbás de la Corte, Alejandro; Reichardt, Susana - In: Applied financial economics 20 (2010) 13/15, pp. 1217-1229
Persistent link: https://www.econbiz.de/10009010290
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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