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Price discovery of the Chinese crude oil options and futures markets
Zou, Mi; Han, Lin; Yang, Zhini - In: Finance research letters 60 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014490178
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Model misspecification and pricing of illiquid claims
Rubtsov, Alexey - In: Finance research letters 18 (2016), pp. 242-249
Persistent link: https://www.econbiz.de/10011657056
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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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Real option with liquidity constraints under secondary debt illiquidity risk market
Xu, Qing; Yang, Jinqiang - In: Finance research letters 21 (2017), pp. 57-65
Persistent link: https://www.econbiz.de/10011807494
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Risky coupon bonds as a portfolio of zero-coupon bonds
Jarrow, Robert A. - In: Finance research letters 1 (2004) 2, pp. 100-105
Persistent link: https://www.econbiz.de/10003307257
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Merton's portfolio problem under Volterra Heston model
Han, Bingyan; Wong, Hoi Ying - In: Finance research letters 39 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012805194
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Generalized two-barrier proportional step options
Li, Xin - In: Finance research letters 51 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014288833
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Ex-ante risk factors and required structures of the implied correlation matrix
Schadner, Wolfgang - In: Finance research letters 41 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10013336218
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Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps
Ulyah, Siti Maghfirotul; Lin, Xenos Chang-Shuo; Miao, … - In: Finance research letters 24 (2018), pp. 113-128
Persistent link: https://www.econbiz.de/10011982515
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Option pricing under regime switching : integration over simplexes method
Jang, Bong-Gyu; Tae, Hyeon-Wuk - In: Finance research letters 24 (2018), pp. 301-312
Persistent link: https://www.econbiz.de/10011982658