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Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro; Yamakami, Tomohisa - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian; Zou, Yihan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun; Taylor, James W. - In: European journal of operational research : EJOR 280 (2020) 1, pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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Multivariate FX models with jumps : triangles, Quantos and implied correlation
Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory - In: European journal of operational research : EJOR 260 (2017) 3, pp. 1181-1199
Persistent link: https://www.econbiz.de/10011714363
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Option valuation under no-arbitrage constraints with neural networks
Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374
Persistent link: https://www.econbiz.de/10012502485
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Electricity futures price models : calibration and forecasting
Islyaev, Suren; Date, Paresh - In: European journal of operational research : EJOR 247 (2015) 1, pp. 144-154
Persistent link: https://www.econbiz.de/10011347115
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Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Option pricing under a normal mixture distribution derived from the Markov tree model
Bhat, Harish S.; Kumar, Nitesh - In: European journal of operational research : EJOR 223 (2012) 3, pp. 762-774
Persistent link: https://www.econbiz.de/10009656138
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A data-driven framework for consistent financial valuation and risk measurement
Cui, Zhenyu; Kirby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 289 (2021) 1, pp. 381-398
Persistent link: https://www.econbiz.de/10012416736