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Local volatility calibration during turbulent periods
Skindilias, Konstantinos; Lo, Chia Chun - In: Review of quantitative finance and accounting 44 (2015) 3, pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
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Using Richardson extrapolation techniques to price American options with alternative stochastic processes
Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406
Persistent link: https://www.econbiz.de/10009673702
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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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Debt rollover-induced local volatility model
Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 1065-1084
Persistent link: https://www.econbiz.de/10012172912
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Do option traders on value and growth stocks react differently to new information?
He, Wei; Lee, Yen-sheng; Wei, Peihwang - In: Review of quantitative finance and accounting 34 (2010) 3, pp. 371-381
Persistent link: https://www.econbiz.de/10003970085
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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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Re-examining the investment-uncertainty relationship in a real options model
Chang, Chuang-Chang; Chen, Chang - In: Review of quantitative finance and accounting 38 (2012) 2, pp. 241-255
Persistent link: https://www.econbiz.de/10009532217
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A jump diffusion model for VIX volatility options and futures
Psychoyios, Dimitris; Dotsis, George; Markellos, Raphaēl N. - In: Review of quantitative finance and accounting 35 (2010) 3, pp. 245-269
Persistent link: https://www.econbiz.de/10009260276
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Foreign exchange option pricing in the currency cycle with jump risks
Lin, Chien-Hsiu; Lin, Shih-kuei; Wu, An-Chi - In: Review of quantitative finance and accounting 44 (2015) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10011333144
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Growth options, option exercise and firms' systematic risk
Koussis, Nicos; Makrominas, Michalis - In: Review of quantitative finance and accounting 44 (2015) 2, pp. 243-267
Persistent link: https://www.econbiz.de/10011327631