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Higher moment exchange rate exposure of S&P500 firms
Bianconi, Marcelo; Cai, Zhe - In: The North American journal of economics and finance : a … 42 (2017), pp. 513-530
Persistent link: https://www.econbiz.de/10011938192
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Arbitrage-free implied volatility surfaces for options on single stock futures
Kotzé, Antonie; Labuschagne, Coenraad C. A.; Nair, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 380-399
Persistent link: https://www.econbiz.de/10010367577
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An analysis of implied volatility jump dynamics : novel functional data representation in crude oil markets
Kearney, Fearghal; Murphy, Finbarr; Cummins, Mark - In: The North American journal of economics and finance : a … 33 (2015), pp. 199-216
Persistent link: https://www.econbiz.de/10011535207
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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
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To sigmoid-based functional description of the volatility smile
Itkin, Andrey - In: The North American journal of economics and finance : a … 31 (2015), pp. 264-291
Persistent link: https://www.econbiz.de/10011514245
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Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
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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
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Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo; Li, Shenghong; Ma, Yong - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
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Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
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Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu; Chen, Ting-Fu - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012656907