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Asymptotic normality for EMS option price estimator with continuous or discontinuous payoff functions
Yuan, Zhushun; Chen, Gemai - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1438-1450
Persistent link: https://www.econbiz.de/10003885452
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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Valuing modularity as a real option
Gamba, Andrea; Fusari, Nicola - In: Management science : journal of the Institute for … 55 (2009) 11, pp. 1877-1896
Persistent link: https://www.econbiz.de/10003909226
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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Dirichlet bridge sampling for the variance gamma process : pricing path-dependent options
Kaishev, Vladimir K.; Dimitrova, Dimitrina S. - In: Management science : journal of the Institute for … 55 (2009) 3, pp. 483-496
Persistent link: https://www.econbiz.de/10003876494
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher; Joshi, Mark S. - In: Management science : journal of the Institute for … 57 (2011) 5, pp. 960-974
Persistent link: https://www.econbiz.de/10009153860
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Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren - In: Journal of econometrics 160 (2011) 1, pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801