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The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework
Wang, Kai-li; Chen, Mei-ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394
Persistent link: https://www.econbiz.de/10003600297
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
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Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka; Li, Wei - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 599-626
Persistent link: https://www.econbiz.de/10010431376
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A multi-factor Markovian HJM model for pricing : American interest rate derivatives
Kramin, Marat V.; Nandi, Saikat; Shulman, Alexander L. - In: Review of quantitative finance and accounting 31 (2008) 4, pp. 359-378
Persistent link: https://www.econbiz.de/10003799579
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Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10011493322
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Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
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A simple induction approach and an efficient trinomial lattice for multi-state variable interest rate derivatives models
Kramin, Marat V.; Kramin, Timur V.; Younger, Stephen D.; … - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 199-226
Persistent link: https://www.econbiz.de/10002851875
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Valuation of complex financial instruments via basic components
Cheung, Joseph K.; Chung, Richard - In: Review of quantitative finance and accounting 7 (1996) 2, pp. 163-176
Persistent link: https://www.econbiz.de/10001467552
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Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012602709