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Decomposing dynamic risks into risk components
Schilling, Katja; Bauer, Daniel - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5738-5756
Persistent link: https://www.econbiz.de/10012391415
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Option pricing with stochastic volatility : information-time vs. calendar-time
Chang, Carolyn C. W. - In: Management science : journal of the Institute for … 42 (1996) 7, pp. 974-991
Persistent link: https://www.econbiz.de/10001204540
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Pricing a class of American and European path dependent securities
Hilliard, Jimmy E.; Kau, James B.; Keenan, Donald C.; … - In: Management science : journal of the Institute for … 41 (1995) 12, pp. 1892-1899
Persistent link: https://www.econbiz.de/10001196045
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Valuing risky projects : option pricing theory and decision analysis
Smith, James E. - In: Management science : journal of the Institute for … 41 (1995) 5, pp. 758-816
Persistent link: https://www.econbiz.de/10001183604
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Multinomial approximating models for options with k state variables
Kamrad, Bardia - In: Management science : journal of the Institute for … 37 (1991) 12, pp. 1640-1652
Persistent link: https://www.econbiz.de/10001120186
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Pricing kernels with stochastic skewness and volatility risk
Chabi-yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-640
Persistent link: https://www.econbiz.de/10009525254
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
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Option prices in a model with stochastic disaster risk
Seo, Sang Byung; Wachter, Jessica - In: Management science : journal of the Institute for … 65 (2019) 8, pp. 3449-3469
Persistent link: https://www.econbiz.de/10012062624
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The pricing of jump propagation : evidence from spot and options markets
Du, Du; Luo, Dan - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2360-2387
Persistent link: https://www.econbiz.de/10012039789