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Using the short-lived arbitrage model to compute minimum variance hedge ratios : application to indices, stocks and commodities
Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 21 (2021) 1, pp. 125-142
Persistent link: https://www.econbiz.de/10012424638
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An adaptive model for security prices driven by latent values : parameter estimation and option pricing effects
Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 22 (2022) 7, pp. 1231-1246
Persistent link: https://www.econbiz.de/10013367896
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Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.; Ngo, Julie T. D. - In: Quantitative finance 22 (2022) 11, pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923