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Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives
Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285
Persistent link: https://www.econbiz.de/10009667379
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Collective behavior and options volatility smile : an agent-based explanation
Liu, Yi-fang; Zhang, Wei; Xu, Hai-chuan - In: Economic modelling 39 (2014), pp. 232-239
Persistent link: https://www.econbiz.de/10010421855
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What determines volatility smile in China?
Li, Pengshi; Xian, Aichuan; Lin, Yan - In: Economic modelling 96 (2021), pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
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Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio; Lenz, Jimmie - In: Economic modelling 136 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
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Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses
Kim, Hwa-sung; Kim, Bara; Kim, Jerim - In: Economic modelling 41 (2014), pp. 15-22
Persistent link: https://www.econbiz.de/10010438507
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Volatility risk premium implications of GARCH option pricing models
Papantonis, Ioannis - In: Economic modelling 58 (2016), pp. 104-115
Persistent link: https://www.econbiz.de/10011647056
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The double exponential jump diffusion model for pricing European options under fuzzy environments
Zhang, Li-Hua; Zhang, Wei-guo; Xiao, Wei-Lin - In: Economic modelling 29 (2012) 3, pp. 780-786
Persistent link: https://www.econbiz.de/10009545516
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A barrier option framework for bank interest margin management under anticipatory regret aversion
Lin, Jyh-horng; Hung, Wei-ming - In: Economic modelling 33 (2013), pp. 794-801
Persistent link: https://www.econbiz.de/10010195688
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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Decomposing and valuing convertible bonds : a new method based on exotic options
Feng, Yun; Huang, Bing-hua; Young, Martin R.; Zhou, Qi-yuan - In: Economic modelling 47 (2015), pp. 193-206
Persistent link: https://www.econbiz.de/10011439095