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Assessing the performance of symmetric and asymmetric implied volatility functions
Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397
Persistent link: https://www.econbiz.de/10010391631
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Evaluation of black-scholes and GARCH models using currency call options data
Harikumar, T.; DeBoyrie, Maria Eugenia; Pak, Simon J. - In: Review of quantitative finance and accounting 23 (2004) 4, pp. 299-312
Persistent link: https://www.econbiz.de/10002534770
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Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
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Derivative pricing 60 years before black-scholes : evidence from the Johannesburg Stock Exchange
Moore, Lyndon; Juh, Steve - In: The journal of finance : the journal of the American … 61 (2006) 6, pp. 3069-3098
Persistent link: https://www.econbiz.de/10003398551
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
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Pricing and hedging mandatory convertible bonds
Ammann, Manuel; Seiz, Ralf - In: The journal of derivatives : the official publication … 13 (2006) 3, pp. 30-46
Persistent link: https://www.econbiz.de/10003321080
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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The role of stochastic volatility and return jumps : reproducing volatility and higher moments in the KOSPI 200 returns dynamics
Kim, In-joon; Baek, In-Seok; Noh, Jaesun; Kim, Sol - In: Review of quantitative finance and accounting 29 (2007) 1, pp. 69-110
Persistent link: https://www.econbiz.de/10003600092
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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Robust estimation of shape-constrained state price density surfaces
Ludwig, Markus - In: The journal of derivatives : the official publication … 22 (2015) 3, pp. 56-72
Persistent link: https://www.econbiz.de/10011399679