Narrow search
Showing 1 - 10 of 145
Cover Image
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
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
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
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
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
Option pricing for a jump-diffusion model with general discrete jump-size distributions
Fu, Michael; Li, Bingqing; Li, Guozhen; Wu, Rongwen - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3961-3977
Persistent link: https://www.econbiz.de/10011772831
Cover Image
Demand uncertainty and excess supply in commodity contracting
Popescu, Dana G.; Seshadri, Sridhar - In: Management science : journal of the Institute for … 59 (2013) 9, pp. 2135-2152
Persistent link: https://www.econbiz.de/10010195588
Cover Image
Macroeconomic factors in oil futures markets
Heath, Davidson - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4407-4421
Persistent link: https://www.econbiz.de/10012118578
Cover Image
A general framework to compare announcement accuracy : static vs. LES-based announcement
Bassamboo, Achal; Ibrahim, Rouba - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4191-4208
Persistent link: https://www.econbiz.de/10012624514
Cover Image
Submodular risk allocation
Ghamami, Samim; Glasserman, Paul - In: Management science : journal of the Institute for … 65 (2019) 10, pp. 4656-4675
Persistent link: https://www.econbiz.de/10012118107