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Finance research letters
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1
Option pricing in a Garch model with tempered stable innovations
Mercuri, Lorenzo
- In:
Finance research letters
5
(
2008
)
3
,
pp. 172-182
Persistent link: https://www.econbiz.de/10003769904
Saved in:
2
Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro
;
Tamaki, Kenichiro
;
Shiohama, Takayuki
- In:
Finance research letters
7
(
2010
)
1
,
pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
Saved in:
3
Option pricing and ARCH processes
Zumbach, Gilles O.
- In:
Finance research letters
9
(
2012
)
3
,
pp. 144-156
Persistent link: https://www.econbiz.de/10009628114
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4
Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Hodoshima, Jiro
;
Yamawake, Toshiyuki
- In:
Finance research letters
28
(
2019
),
pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
Saved in:
5
Deposit insurance pricing under GARCH
Liu, Hailong
;
Li, Rui
;
Yuan, Jinjian
- In:
Finance research letters
26
(
2018
),
pp. 242-249
Persistent link: https://www.econbiz.de/10012005690
Saved in:
6
Valuing executive stock options under correlated employment shocks
Wang, Xingchun
- In:
Finance research letters
27
(
2018
),
pp. 38-45
Persistent link: https://www.econbiz.de/10012006731
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7
Do it with a smile : forecasting volatility with currency options
Reus, Lorenzo
;
Carrasco, José A.
;
Pincheira, Pablo
- In:
Finance research letters
34
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012436844
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Scale-consistent value-at-risk
Lehnert, Thorsten
;
Wolff, Christiaan Cornelis Petrus
- In:
Finance research letters
1
(
2004
)
2
,
pp. 127-134
Persistent link: https://www.econbiz.de/10003307269
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