Narrow search
Showing 1 - 10 of 262
Cover Image
Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
Hsieh, PeiLin; Jarrow, Robert A. - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670
Cover Image
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
Cover Image
Superreplication of financial derivatives via convex programming
Kahalé, Nabil - In: Management science : journal of the Institute for … 63 (2017) 7, pp. 2323-2339
Persistent link: https://www.econbiz.de/10011729383
Cover Image
Real options and American derivatives : the double continuation region
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - In: Management science : journal of the Institute for … 61 (2015) 5, pp. 1094-1107
Persistent link: https://www.econbiz.de/10011284877
Cover Image
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
Cover Image
Unspanned stochastic volatility in affine models : evidence from eurodollar futures and options
Bikbov, Ruslan; Chernov, Mikhail - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1292-1305
Persistent link: https://www.econbiz.de/10003885380
Cover Image
Firm-specific risk-neutral distributions with options and CDS
Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - In: Management science : journal of the Institute for … 68 (2022) 9, pp. 7018-7033
Persistent link: https://www.econbiz.de/10013373168
Cover Image
Time-varying skew in vix derivatives pricing
Yuan, Peixuan - In: Management science : journal of the Institute for … 68 (2022) 10, pp. 7761-7791
Persistent link: https://www.econbiz.de/10013546174
Cover Image
Informed options trading prior to takeover announcements : insider trading?
Augustin, Patrick; Brenner, Menachem; Subrahmanyam, Marti G. - In: Management science : journal of the Institute for … 65 (2019) 12, pp. 5697-5720
Persistent link: https://www.econbiz.de/10012146894
Cover Image
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