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The valuation of compound options : a correction and an extension
Chen, Ren-Raw; He, Wei - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 92-104
Persistent link: https://www.econbiz.de/10011399781
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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On the determinants of the implied default barrier
Dionne, Georges; Laajimi, Sadok - In: Journal of empirical finance 19 (2012) 3, pp. 395-408
Persistent link: https://www.econbiz.de/10009615674
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Learning, confidence, and option prices
Shaliastovich, Ivan - In: Journal of econometrics 187 (2015) 1, pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
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Pricing American options when the underlying asset follows GARCH processes
Stentoft, Lars - In: Journal of empirical finance 12 (2005) 4, pp. 576-611
Persistent link: https://www.econbiz.de/10003144806
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The forward valuation of compound options
Buraschi, Andrea; Dumas, Bernard - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 8-17
Persistent link: https://www.econbiz.de/10001618892
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Cross-sectional tests of deterministic volatility functions
Brandt, Michael W.; Wu, Tao - In: Journal of empirical finance 9 (2002) 5, pp. 525-550
Persistent link: https://www.econbiz.de/10001712020
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Bayesian analysis of contingent claim model error
Jacquier, Eric; Jarrow, Robert A. - In: Journal of econometrics 94 (2000) 1/2, pp. 145-180
Persistent link: https://www.econbiz.de/10001437752