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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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Explicit expressions to counterparty credit exposures for Forward and European Option
Li, Shuang; Peng, Cheng; Bao, Ying; Zhao, Yanlong - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012656950
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Valuing spread options with counterparty risk and jump risk
Li, Zelei; Wang, Xingchun - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012665103
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The values and incentive effects of options on the maximum or the minimum of the stock prices and market index
Wang, Xingchun - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012667343
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Implied Sharpe ratios of portfolios with options : application to Nikkei futures and listed options
Akuzawa, Toshinao; Nishiyama, Yoshihiko - In: The North American journal of economics and finance : a … 25 (2013), pp. 335-357
Persistent link: https://www.econbiz.de/10009779207
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An analytical approximation approach for pricing European options in a two-price economy
Li, Zhe; Zhang, Weiguo; Zhang, Yue; Yi, Zhigao - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012201210
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The impacts of overseas market shocks on the CDS-option basis
Park, Yuen Jung; Kutan, Ali Mustafa; Ryu, Doojin - In: The North American journal of economics and finance : a … 47 (2019), pp. 622-636
Persistent link: https://www.econbiz.de/10012120141
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Pricing of vulnerable options with early counterparty credit risk
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 47 (2019), pp. 645-656
Persistent link: https://www.econbiz.de/10012120148
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Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
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Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun; Zhang, Han - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013413519