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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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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000982923
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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Assessing the incremental value of option pricing theory relative to an "informationally passive" benchmark
Figlewski, Stephen - 2002
Persistent link: https://www.econbiz.de/10001701082
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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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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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A simulation-based pricing method for convertible bonds
Kind, Axel; Wilde, Christian - 2003
Persistent link: https://www.econbiz.de/10001779259
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No-arbitrage option pricing : new evidence on the validity of the martingale property
Brenner, Menachem; Eom, Young Ho - 1997
Persistent link: https://www.econbiz.de/10001442896
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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
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Implied volatility functions : a reprise
Rosenberg, Joshua V. - 1999
Persistent link: https://www.econbiz.de/10001447936