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Mean-reversion properties of implied volatilities
Ielpo, Florian; Simon, Guillaume - In: The European journal of finance 16 (2010) 5/6, pp. 587-610
Persistent link: https://www.econbiz.de/10008698544
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Pricing European options under a diffusion model with psychological barriers and leverage effect
Song, Shiyu; Wang, Guanying; Wang, Yongjin - In: The European journal of finance 26 (2020) 12, pp. 1184-1206
Persistent link: https://www.econbiz.de/10012264954
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How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35
García-Machado, Juan J.; Rybczyński, Jarosław - In: The European journal of finance 23 (2017) 1/3, pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
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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
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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 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
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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
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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
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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
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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