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Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
Hu, Jun; Kanniainen, Juho - In: Finance research letters 14 (2015), pp. 1-10
Persistent link: https://www.econbiz.de/10011552564
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Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
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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
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Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: Finance research letters 44 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014494891
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Option pricing under market maker's inventory risk : a case study of China
Deng, Zhijian; Yao, Yuhang - In: Finance research letters 66 (2024), pp. 1-9
Persistent link: https://www.econbiz.de/10015057717
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Price discovery in the volatility index option market : a univariate GARCH approach
Venter, Pierre J; Maré, E. - In: Finance research letters 44 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014494881
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Not all VIXs are (Informationally) equal : evidence from affine GARCH option pricing models
Escobar, Marcos; Stentoft, Lars; Ye, Xize - In: Finance research letters 69 (2024) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10015079727
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume
Khuntia, Sashikanta; Pattanayak, Jamini Kanta - In: Finance research letters 32 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012430661