Narrow search
Showing 1 - 10 of 362
Cover Image
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
Cover Image
Option pricing under stochastic volatility and stochastic interest rate in the Spanish case
Sáez, Marc - In: Applied financial economics 7 (1997) 4, pp. 379-394
Persistent link: https://www.econbiz.de/10001226979
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Discrete time linear-quadratic pricing of bonds and options
Realdon, Marco - In: Applied financial economics 21 (2011) 7/9, pp. 463-467
Persistent link: https://www.econbiz.de/10009153287
Cover Image
Estimating volatility from ATM options with lognormal stochastic variance and long memory
Cardinali, Alessandro - In: Applied financial economics 22 (2012) 7/9, pp. 733-748
Persistent link: https://www.econbiz.de/10009624321