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Pricing power exchange options with correlated jump risk
Wang, Xingchun - In: Finance research letters 19 (2016), pp. 90-97
Persistent link: https://www.econbiz.de/10011657466
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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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Rough stochastic elasticity of variance and option pricing
Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
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The closed-form approximation to price basket options under stochastic interest rate
Yu, Bo; Zhu, Hongmei; Wu, Ping - In: Finance research letters 46 (2022) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10013342195
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Pricing discrete double barrier options under Lévy processes : an extension of the method by Milev and Tagliani
Xiao, Shuang; Ma, Shihua - In: Finance research letters 19 (2016), pp. 67-74
Persistent link: https://www.econbiz.de/10011657452
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Asymmetric tail dependence in cryptocurrency markets : a Model-free approach
Ahn, Yongkil - In: Finance research letters 47 (2022) 2, pp. 1-5
Persistent link: https://www.econbiz.de/10013553804
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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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Another look at the relationship between cross-market correlation and volatility
Bartram, Söhnke M.; Wang, Yaw-Huei - In: Finance research letters 2 (2005) 2, pp. 75-88
Persistent link: https://www.econbiz.de/10002883183
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Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick; Reh, Laura - In: Finance research letters 56 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
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Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations
Sleire, Anders D.; Støve, Bård; Otneim, Håkon; … - In: Finance research letters 46 (2022) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10013342680