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Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
Xu, Zheng - In: Economics letters 120 (2013) 3, pp. 369-373
Persistent link: https://www.econbiz.de/10010128844
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The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama; Virmani, … - In: Economics letters 204 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
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Beyond rocket science : a factor model for convertible bond returns
Li, Zhiyong; Wang, Haixu; Yu, Mei - In: Economics letters 233 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014505094
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Volatility can be detrimental to option values!
Ghoddusi, Hamed; Fahim, Arash - In: Economics letters 149 (2016), pp. 5-9
Persistent link: https://www.econbiz.de/10011620005
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Valuing an investment project using no-arbitrage and the alpha-maxmin criteria : from Knightian uncertainty to risk
Braouezec, Yann; Joliet, Robert - In: Economics letters 178 (2019), pp. 111-115
Persistent link: https://www.econbiz.de/10012121654
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A bootstrap test for jumps in financial economics
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78
Persistent link: https://www.econbiz.de/10010504752
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Bipower variation with jumps and correlated returns
Duan, Yunpeng; Xue, Yi - In: Economics letters 125 (2014) 3, pp. 367-371
Persistent link: https://www.econbiz.de/10010506017
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The price of COVID-19-induced uncertainty in the options market
Li, Jianhui; Ruan, Xinfeng; Zhang, Jin E. - In: Economics letters 211 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10013172691
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The role of news-based implied volatility among US financial markets
Su, Zhi; Fang, Tong; Yin, Libo - In: Economics letters 157 (2017), pp. 24-27
Persistent link: https://www.econbiz.de/10011847294
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Corporate bond pricing model with stochastically volatile firm value process
Jang, Woon Wook; Eom, Young Ho; Kang, Yong Joo - In: Economics letters 148 (2016), pp. 41-44
Persistent link: https://www.econbiz.de/10011619792