Narrow search
Showing 1 - 10 of 50
Cover Image
Computing the market price of volatility risk in the energy commodity markets
Doran, James S.; Ronn, Ehud I. - In: Journal of banking & finance 32 (2008) 12, pp. 2541-2552
Persistent link: https://www.econbiz.de/10003795774
Cover Image
From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
Cover Image
A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
Cover Image
A jump-diffusion model for pricing and hedging with margined options : an application to Brent crude oil contracts
Hilliard, Jimmy E.; Hilliard, Jitka - In: Journal of banking & finance 98 (2019), pp. 137-155
Persistent link: https://www.econbiz.de/10012162247
Cover Image
Overnight information and stochastic volatility : a study of European and US stock exchanges
Tsiakas, Ilias - In: Journal of banking & finance 32 (2008) 2, pp. 251-268
Persistent link: https://www.econbiz.de/10003647204
Cover Image
Identifying volatility risk premia from fixed income Asian options
Almeida, Caio; Vicente, José - In: Journal of banking & finance 33 (2009) 4, pp. 652-661
Persistent link: https://www.econbiz.de/10003820565
Cover Image
Information content of options trading volume for future volatility : evidence from the Taiwan options market
Chang, Chuang-chang; Hsieh, Pei-fang; Wang, Yaw-huei - In: Journal of banking & finance 34 (2010) 1, pp. 174-183
Persistent link: https://www.econbiz.de/10003905751
Cover Image
Does information drive trading in option strategies?
Fahlenbrach, Rüdiger; Sandås, Patrik - In: Journal of banking & finance 34 (2010) 10, pp. 2370-2385
Persistent link: https://www.econbiz.de/10008857746
Cover Image
Misreaction or misspecification? : a re-examination of volatility anomalies
Jiang, George J.; Tian, Yisong Sam - In: Journal of banking & finance 34 (2010) 10, pp. 2358-2369
Persistent link: https://www.econbiz.de/10008857749
Cover Image
Hedging volatility risk
Brenner, Menachem; Ou, Ernest Y.; Zhang, Jin E. - In: Journal of banking & finance 30 (2006) 3, pp. 811-821
Persistent link: https://www.econbiz.de/10003300389