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Implied volatilities, stochastic interest rates, and currency futures, options valuation : an empirical investigation
Bhargava, Vivek; Brooks, Robert; Malhotra, Davinder Kumar - In: The European journal of finance 7 (2001) 3, pp. 231-246
Persistent link: https://www.econbiz.de/10001603503
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Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
Ahlip, Rehez; Rutkowski, Marek - In: The European journal of finance 22 (2016) 7/9, pp. 551-571
Persistent link: https://www.econbiz.de/10011619055
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Why smiles exist in foreign exchange options markets : isolating components of the risk neutral process
Tompkins, Robert G. - In: The European journal of finance 12 (2006) 6/7, pp. 583-603
Persistent link: https://www.econbiz.de/10003382854
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Predictability in implied volatility surfaces : evidence from the euro OTC FX market
Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: The European journal of finance 20 (2014) 1/3, pp. 33-58
Persistent link: https://www.econbiz.de/10010462211
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The tick/volatility ratio as a determinant of the compass rose pattern
Lee, Chun I.; Mathur, Iqbal; Gleason, Kimberley C. - In: The European journal of finance 11 (2005) 2, pp. 93-109
Persistent link: https://www.econbiz.de/10002841754
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Stochastic volatility in the Spanish stock market : a long memory model with a structural break
Gil-Alaña, Luis A.; Cuñado Eizaguirre, Juncal; Perez … - In: The European journal of finance 14 (2008) 1/2, pp. 23-31
Persistent link: https://www.econbiz.de/10003744669
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Stochastic volatility and GARCH : a comparison based on UK stock data
Pederzoli, Chiara - In: The European journal of finance 12 (2006) 1, pp. 41-59
Persistent link: https://www.econbiz.de/10003305243
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Stochastic volatility and time-varying country risk in emerging markets
Johansson, Anders C. - In: The European journal of finance 15 (2009) 3/4, pp. 337-363
Persistent link: https://www.econbiz.de/10003875461
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Estimating stochastic volatility models using integrated nested Laplace approximations
Martino, Sara; Aas, Kjersti; Lindqvist, Ola; Neef, Linda R. - In: The European journal of finance 17 (2011) 7/8, pp. 487-503
Persistent link: https://www.econbiz.de/10009509861
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Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - In: The European journal of finance 21 (2015) 4/6, pp. 292-315
Persistent link: https://www.econbiz.de/10010528197