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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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Cross-sectional tests of deterministic volatility functions
Brandt, Michael W.; Wu, Tao - In: Journal of empirical finance 9 (2002) 5, pp. 525-550
Persistent link: https://www.econbiz.de/10001712020
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Nonparametric estimates of pricing functionals
Marinelli, Carlo; D'Addona, Stefano - In: Journal of empirical finance 44 (2017), pp. 19-35
Persistent link: https://www.econbiz.de/10011817977
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The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Liu, Peng; Tang, Ke - In: Journal of empirical finance 18 (2011) 2, pp. 211-224
Persistent link: https://www.econbiz.de/10009301130
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Stock market momentum, business conditions, and GARCH option pricing models
Chiang, Min-Hsien; Huang, Hsin-yi - In: Journal of empirical finance 18 (2011) 3, pp. 488-505
Persistent link: https://www.econbiz.de/10009302078
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American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
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The role of time-varying jump risk premia in pricing stock index options
Yun, Jaeho - In: Journal of empirical finance 18 (2011) 5, pp. 833-846
Persistent link: https://www.econbiz.de/10009492529
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No-arbitrage implied volatility functions : empirical evidence from KOSPI 200 index options
Kim, Namhyoung; Lee, Jaewook - In: Journal of empirical finance 21 (2013), pp. 36-53
Persistent link: https://www.econbiz.de/10009745311
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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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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