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The predictive power of the implied volatility of options traded OTC and on exchanges
Yu, Wayne W.; Lui, Evans C. K.; Wang, Jacqueline W. - In: Journal of banking & finance 34 (2010) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10003905624
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A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
Ballestra, Luca Vincenzo; Pacelli, Graziella; Zirilli, … - In: Journal of banking & finance 31 (2007) 11, pp. 3420-3437
Persistent link: https://www.econbiz.de/10003577417
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Robustness of distance-to-default
Jessen, Cathrine; Lando, David - In: Journal of banking & finance 50 (2015), pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
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Why do options prices predict stock returns? : evidence from analyst tipping
Lin, Tse-Chun; Lu, Xiaolong - In: Journal of banking & finance 52 (2015), pp. 17-28
Persistent link: https://www.econbiz.de/10011377291
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Keep on smiling? : the pricing of Quanto options when all covariances are stochastic
Branger, Nicole; Muck, Matthias - In: Journal of banking & finance 36 (2012) 6, pp. 1577-1591
Persistent link: https://www.econbiz.de/10009616465
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The world price of jumo and volatility risk
Driessen, Joost; Maenhout, Pascal J. - In: Journal of banking & finance 37 (2013) 2, pp. 518-536
Persistent link: https://www.econbiz.de/10009705629
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US presidential elections and implied volatility : the role of political uncertainty
Goodwell, John W.; Vähämaa, Sami - In: Journal of banking & finance 37 (2013) 3, pp. 1108-1117
Persistent link: https://www.econbiz.de/10009708701
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Pricing and static hedging of American-style options under the jump to default extended CEV model
Ruas, João Pedro; Dias, José Carlos; Nunes, Joaõ … - In: Journal of banking & finance 37 (2013) 11, pp. 4059-4072
Persistent link: https://www.econbiz.de/10010244898
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VIX option pricing and CBOE VIX Term Structure : a new methodology for volatility derivatives valuation
Lin, Yueh-neng - In: Journal of banking & finance 37 (2013) 11, pp. 4432-4446
Persistent link: https://www.econbiz.de/10010247020