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Robustness of stable volatility strategies
Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
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Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
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Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei; Yang, Nian - In: Journal of economic dynamics & control 125 (2021), pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Learning and forecasts about option returns through the volatility risk premium
Bernales, Alejandro; Chen, Louisa; Valenzuela, Marcela - In: Journal of economic dynamics & control 82 (2017), pp. 312-330
Persistent link: https://www.econbiz.de/10011915574
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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
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Gram-Charlier densities
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 25 (2001) 10, pp. 1457-1483
Persistent link: https://www.econbiz.de/10001603779
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Binomial valuation of lookback options
Babbs, Simon H. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1499-1525
Persistent link: https://www.econbiz.de/10001508727
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Asymmetry in the jump-size distribution of the S&P 500 : evidence from equity and option markets
Kaeck, Andreas - In: Journal of economic dynamics & control 37 (2013) 9, pp. 1872-1888
Persistent link: https://www.econbiz.de/10009786062
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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T.; … - In: Journal of economic dynamics & control 137 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013464578