Narrow search
Showing 1 - 10 of 302
Cover Image
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
Cover Image
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
Cover Image
Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
Cover Image
Multivariate asset models using Lévy processes and applications
Ballotta, Laura; Bonfiglioli, Efrem - In: The European journal of finance 22 (2016) 13/15, pp. 1320-1350
Persistent link: https://www.econbiz.de/10011715430
Cover Image
A new closed-form formula for pricing European options under a skew Brownian motion
Zhu, Song-Ping; He, Xin-Jiang - In: The European journal of finance 24 (2018) 10/12, pp. 1063-1074
Persistent link: https://www.econbiz.de/10012244440
Cover Image
Pricing volatility options under stochastic skew with application to the VIX index
Marabel Romo, Jacinto - In: The European journal of finance 23 (2017) 4/6, pp. 353-374
Persistent link: https://www.econbiz.de/10011736265
Cover Image
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
Cover Image
Volatility and variance swaps and options in the fractional SABR model
Kim, See-Woo; Kim, Jeong-Hoon - In: The European journal of finance 26 (2020) 17, pp. 1725-1745
Persistent link: https://www.econbiz.de/10012314649
Cover Image
Valuation of spread options under correlated skew Brownian motions
Song, Shiyu; Wang, Xingchun; Zhang, Xiaowen - In: The European journal of finance 30 (2024) 5, pp. 503-523
Persistent link: https://www.econbiz.de/10014547897
Cover Image
The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process
Hong, KiHoon Jimmy; Satchell, Stephen - In: The European journal of finance 20 (2014) 1/3, pp. 264-290
Persistent link: https://www.econbiz.de/10010462111