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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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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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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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Valuing commodity options and futures options with changing economic conditions
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 51 (2015), pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
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An improved framework for approximating option prices with application to option portfolio hedging
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun; … - In: Economic modelling 59 (2016), pp. 285-296
Persistent link: https://www.econbiz.de/10011647843
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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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Modelling risk premia in CO2 allowances spot and futures prices
Chevallier, Julien - In: Economic modelling 27 (2010) 3, pp. 717-729
Persistent link: https://www.econbiz.de/10003995620
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Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS
Arouri, Mohamed; Jawadi, Fredj; Nguyen, Duc Khuong - In: Economic modelling 29 (2012) 3, pp. 884-892
Persistent link: https://www.econbiz.de/10009545498
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Modelling the dynamics of European carbon futures price : a Zipf analysis
Zhu, Bangzhu; Ma, Shujiao; Chevallier, Julien; Wei, Yi-Ming - In: Economic modelling 38 (2014), pp. 372-380
Persistent link: https://www.econbiz.de/10010419048
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Limit order books, uninformed traders and commodity derivatives : insights from the European carbon futures
Rannou, Yves - In: Economic modelling 81 (2019), pp. 387-410
Persistent link: https://www.econbiz.de/10012202116