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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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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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Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Wu, Feng; Myers, Robert J.; Guan, Zhengfei; Wang, Zhiguang - In: Journal of empirical finance 34 (2015), pp. 260-274
Persistent link: https://www.econbiz.de/10011557143
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Empirical tests of the Longstaff extendible warrant model
Hauser, Shmuel - In: Journal of empirical finance 3 (1996) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10001208679
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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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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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Using Merton model for default prediction : an empirical assessment of selected alternatives
Afik, Zvika; Arad, Ohad; Galil, Koresh - In: Journal of empirical finance 35 (2016), pp. 43-67
Persistent link: https://www.econbiz.de/10011662716
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Forecasting the term structure of option implied volatility : the power of an adaptive method
Chen, Ying; Han, Qian; Niu, Linlin - In: Journal of empirical finance 49 (2018), pp. 157-177
Persistent link: https://www.econbiz.de/10012117736
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A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán; Constantinou, Nick - In: Journal of empirical finance 53 (2019), pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
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Option gamma and stock returns
Soebhag, Amar - In: Journal of empirical finance 74 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014477131