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Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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Efficient computation of european option prices and their sensitivities with the complex fourier series method
Chan, Tat Lung (Ron) - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-23
Persistent link: https://www.econbiz.de/10012201197
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Reasonable evaluation of VIX options for the Taiwan stock index
Huang, Hung-Hsi; Lin, Shin-Hung; Wang, Chiu-Ping - In: The North American journal of economics and finance : a … 48 (2019), pp. 111-130
Persistent link: https://www.econbiz.de/10012120217
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Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 48 (2019), pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
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CVA for Cliquet options under Heston model
Feng, Yaqin; Wang, Min; Zhang, Yuanqing - In: The North American journal of economics and finance : a … 48 (2019), pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
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Arbitrage-free conditions for implied volatility surface by Delta
Wang, Ximei; Zhao, Yanlong; Bao, Ying - In: The North American journal of economics and finance : a … 48 (2019), pp. 819-834
Persistent link: https://www.econbiz.de/10012120342
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Psychological barriers and option pricing in a local volatility model
Li, Dan; Liu, Lixin; Xu, Guangli - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014246900
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Jump dynamics, spillover effect and option valuation
Pan, Zhiyuan; Shuai, Jiangyu; Liang, Zhilei; Sun, Xianchao - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013534098
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Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
He, Xin-Jiang; Lin, Sha - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014483995