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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Implied volatility functions : a reprise
Rosenberg, Joshua V. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 51-64
Persistent link: https://www.econbiz.de/10001497758
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - In: The journal of derivatives : the official publication … 8 (2000) 1, pp. 10-28
Persistent link: https://www.econbiz.de/10001522314
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GARCH gamma
Engle, Robert F. - In: The journal of derivatives : the official publication … 2 (1995) 4, pp. 47-59
Persistent link: https://www.econbiz.de/10001223170
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Another look at the Ho-Lee bond option pricing model
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53
Persistent link: https://www.econbiz.de/10011965408