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The implied volatility smirk in the Chinese equity options market
Yue, Tian; Gehricke, Sebastian A.; Zhang, Jin E.; Pan, … - In: Pacific-Basin finance journal 69 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013369869
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Determining bid-ask prices for options with stochastic illiquidity and applications to index options
Chuang, Ming-Che; Tsai, Jeffrey Tzuhao - In: Pacific-Basin finance journal 84 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10014534554
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Warrants pricing : stochastic volatility vs. Black-Scholes
Huang, Yu Chuan; Chen, Shing Chun - In: Pacific-Basin finance journal 10 (2002) 4, pp. 393-409
Persistent link: https://www.econbiz.de/10001716091
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An empirical test of the variance gamma option pricing model
Lam, Kin; Chang, Eric Chieh; Lee, M. C. - In: Pacific-Basin finance journal 10 (2002) 3, pp. 267-285
Persistent link: https://www.econbiz.de/10001705578
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Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
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Dynamic hedging using the realized minimum-variance hedge ratio approach : examination of the CSI 300 index futures
Qu, Hui; Wang, Tianyang; Zhang, Yi; Sun, Pengfei - In: Pacific-Basin finance journal 57 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012170622
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Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? : evidence from the global financial crisis and Covid-19 pande...
Yousaf, Imran; Beljid, Makram; Chaibi, Anis; Ajlouni, … - In: Pacific-Basin finance journal 73 (2022), pp. 1-45
Persistent link: https://www.econbiz.de/10013388961
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A new government bond volatility index predictor for the U.S. equity premium
Pan, Zheyao; Kam Fong Chan - In: Pacific-Basin finance journal 50 (2018), pp. 200-215
Persistent link: https://www.econbiz.de/10012033788
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Exploiting the low-risk anomaly using machine learning to enhance the Black-Litterman framework : evidence from South Korea
Pyo, Sujin; Lee, Jaewook - In: Pacific-Basin finance journal 51 (2018), pp. 1-12
Persistent link: https://www.econbiz.de/10012035052
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VIX derivatives : valuation models and empirical evidence
Lo, Chien-Ling; Shih, Pai-Ta; Wang, Yaw-Huei; Yu, Min-Teh - In: Pacific-Basin finance journal 53 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012133281