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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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Expected time value decay of options : implications for put-rolling strategies
Tannous, George F.; Lee-Sing, Clifton R. - In: The financial review : the official publication of the … 43 (2008) 2, pp. 191-218
Persistent link: https://www.econbiz.de/10003755354
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Simulation-based pricing of convertible bonds
Ammann, Manuel; Kind, Axel; Wilde, Christian - In: Journal of empirical finance 15 (2008) 2, pp. 310-331
Persistent link: https://www.econbiz.de/10003699167
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Capital structure and the ex-dividend day return
French, Dan W.; Varson, Paula L.; Moon, Kenneth P. - In: The financial review : the official publication of the … 40 (2005) 3, pp. 361-379
Persistent link: https://www.econbiz.de/10003105050
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A generalized partially linear model of asymmetric volatility
Wu, Guojun; Xiao, Zhijie - In: Journal of empirical finance 9 (2002) 3, pp. 287-319
Persistent link: https://www.econbiz.de/10001705438
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Trade imbalances and inventory effects in long-term S&P 500 index options
Bharadwaj, Anu; Wiggins, James B. - In: The financial review : the official publication of the … 38 (2003) 2, pp. 293-309
Persistent link: https://www.econbiz.de/10001794884
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Pricing U.S. dollar index futures options : an empirical investigation
Bhargava, Vivek; Clark, John M. - In: The financial review : the official publication of the … 38 (2003) 4, pp. 571-590
Persistent link: https://www.econbiz.de/10001813237
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The quality of market volatility forecasts implied by S&P 100 index option prices
Fleming, Jeff - In: Journal of empirical finance 5 (1998) 4, pp. 317-345
Persistent link: https://www.econbiz.de/10001375188