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Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian; Wang, Zi-Ling; Xiao, Wei-Lin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
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Dupire's formulas in the Piterbarg option pricing model
Labuschagne, Coenraad C. A.; Boetticher, Sven T. von - In: The North American journal of economics and finance : a … 38 (2016), pp. 148-162
Persistent link: https://www.econbiz.de/10011673354
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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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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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Static hedging of chained-type barrier options
Jun, Doobae; Ku, Hyejin - In: The North American journal of economics and finance : a … 33 (2015), pp. 317-327
Persistent link: https://www.econbiz.de/10011535249
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Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise
Kunitomo, Naoto; Sato, Seisho - In: The North American journal of economics and finance : a … 26 (2013), pp. 282-309
Persistent link: https://www.econbiz.de/10010365764
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Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances
Ortas, E.; Salvador, Manuel; Moneva, J. M. - In: The North American journal of economics and finance : a … 31 (2015), pp. 27-51
Persistent link: https://www.econbiz.de/10011511029
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Trade flows and real exchange-rate volatility : an application of cointegration and error-correction modeling
Arize, Augustine Chuck - In: The North American journal of economics and finance : a … 6 (1995) 1, pp. 37-51
Persistent link: https://www.econbiz.de/10001189209
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Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen; Alañón Pardo, Ángel - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
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Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu; Chen, Cathy W. S.; Syu, Fong-Yi - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012667381