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Are banks happy when managers go long? : the information content of managers' vested option holdings for loan pricing
Dezsö, Cristian L.; Ross, David Gaddis - In: Journal of financial economics 106 (2012) 2, pp. 395-410
Persistent link: https://www.econbiz.de/10009666527
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Capital structure effects on the prices of equity call options
Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
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Carry
Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
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The jump leverage risk premium
Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
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Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
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The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
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Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Gulisashvili, Archil - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
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Reduced-order models for the implied variance under local volatility
Sachs, Ekkehard; Schneider, Marina - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10010498793
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Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
Forde, Martin - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 559-578
Persistent link: https://www.econbiz.de/10009269355
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009562159