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Option pricing with time-changed Lévy processes
Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238
Persistent link: https://www.econbiz.de/10010204746
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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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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
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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
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Calibration strategies of stochastic volatility models for option pricing
Larikka, Mauri; Kanniainen, Juho - In: Applied financial economics 22 (2012) 22/24, pp. 1979-1992
Persistent link: https://www.econbiz.de/10009719310
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Estimating single factor jump diffusion interest rate models
Sorwar, Ghulam - In: Applied financial economics 21 (2011) 22/24, pp. 1679-1689
Persistent link: https://www.econbiz.de/10009385057
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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 performance of popular stochastic volatility option pricing models during the subprime crisis
Moyaert, Thibaut; Petitjean, Mikael - In: Applied financial economics 21 (2011) 13/15, pp. 1059-1068
Persistent link: https://www.econbiz.de/10009317438
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Idiosyncratic volatility and stock returns : a cross country analysis
Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the … Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully …) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that …
Persistent link: https://www.econbiz.de/10003886161
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The Black-Litterman model : the definition of views based on volatility forecasts
Duqi, Andi; Franci, Leonardo; Torluccio, Giuseppe - In: Applied financial economics 24 (2014) 19/21, pp. 1285-1296
Persistent link: https://www.econbiz.de/10010460181