Narrow search
Showing 1 - 10 of 37
Cover Image
Pricing European continuous-installment currency options with mean-reversion
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013413559
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Cover Image
State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min; Liao, Szu-Lang; Chen, Jun-Home - In: The North American journal of economics and finance : a … 33 (2015), pp. 115-133
Persistent link: https://www.econbiz.de/10011534881
Cover Image
Implied volatility and the risk-free rate of return in options markets
Bianconi, Marcelo; McLachlan, Scott; Sammon, Marco - In: The North American journal of economics and finance : a … 31 (2015), pp. 1-26
Persistent link: https://www.econbiz.de/10011511024
Cover Image
Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options
Liu, Qiang; Guo, Shuxin - In: The North American journal of economics and finance : a … 28 (2014), pp. 77-89
Persistent link: https://www.econbiz.de/10010461176
Cover Image
A guide to FX options quoting conventions
Reiswich, Dimitri; Wystup, Uwe - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 58-68
Persistent link: https://www.econbiz.de/10008771850
Cover Image
Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.; Welke, Gerd M. - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 29-47
Persistent link: https://www.econbiz.de/10003733222