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Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes
Wang, Xingchun - In: International review of economics & finance : IREF 70 (2020), pp. 16-26
Persistent link: https://www.econbiz.de/10012486761
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A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: International review of economics & finance : IREF 85 (2023), pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
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Pricing virtual currency-linked derivatives with time-inhomogeneity
Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 71 (2021), pp. 424-439
Persistent link: https://www.econbiz.de/10012627797
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Using VIX futures to hedge forward implied volatility risk
Lin, Yueh-neng; Lin, Anchor Y. - In: International review of economics & finance : IREF 43 (2016), pp. 88-106
Persistent link: https://www.econbiz.de/10011625539
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Stochastic volatility vs. jump diffusions : evidence from the Chinese convertible bond market
Fan, Chenxi; Luo, Xingguo; Wu, Qingbiao - In: International review of economics & finance : IREF 49 (2017), pp. 1-16
Persistent link: https://www.econbiz.de/10011748345
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How arbitrage-free is the Nelson–Siegel model under stochastic volatility?
Takamizawa, Hideyuki - In: International review of economics & finance : IREF 79 (2022), pp. 205-223
Persistent link: https://www.econbiz.de/10013343384
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Implied volatility forecast and option trading strategy
Liu, Dehong; Liang, Yucong; Zhang, Lili; Lung, Peter P.; … - In: International review of economics & finance : IREF 71 (2021), pp. 943-954
Persistent link: https://www.econbiz.de/10012630807
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Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model
Chen, Son-nan; Hsu, Pao-Peng - In: International review of economics & finance : IREF 56 (2018), pp. 330-346
Persistent link: https://www.econbiz.de/10012033703
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Pricing discrete barrier options under jump-diffusion model with liquidity risk
Li, Zhe; Zhang, Wei-guo; Liu, Yong-Jun; Zhang, Yue - In: International review of economics & finance : IREF 59 (2019), pp. 347-368
Persistent link: https://www.econbiz.de/10012202898
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An enhanced implied tree model for option pricing : a study on Hong Kong property stock options
Hui, Eddie Chi Man - In: International review of economics & finance : IREF 15 (2006) 3, pp. 324-345
Persistent link: https://www.econbiz.de/10003357607