Narrow search
Showing 1 - 10 of 13
Cover Image
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
Cover Image
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Cover Image
Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Cover Image
A guide to FX options quoting conventions
Reiswich, Dimitri; Wystup, Uwe - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 58-68
Persistent link: https://www.econbiz.de/10008771850
Cover Image
Do interest rate options contain information about excess returns?
Almeida, Caio; Graveline, Jeremy J.; Joslin, Scott - In: Journal of econometrics 164 (2011) 1, pp. 35-44
Persistent link: https://www.econbiz.de/10009270414
Cover Image
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Cover Image
Quanto pricing with copulas
Bennett, Michael N.; Kennedy, Joanne E. - In: The journal of derivatives : the official publication … 12 (2004) 1, pp. 26-45
Persistent link: https://www.econbiz.de/10002210955
Cover Image
Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
Cover Image
A numerical approach to American currency option valuation
Choi, Seung-mook S.; Marcozzi, Michael D. - In: The journal of derivatives : the official publication … 9 (2001) 2, pp. 19-29
Persistent link: https://www.econbiz.de/10001634680
Cover Image
Calculation of volatility in a jump-diffusion model
Navas, Javier F. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 66-72
Persistent link: https://www.econbiz.de/10001861586