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Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes
Gong, Xiaoli; Zhuang, Xintian - In: The North American journal of economics and finance : a … 40 (2017), pp. 148-159
Persistent link: https://www.econbiz.de/10011878807
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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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Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation
Li, Leon - In: The North American journal of economics and finance : a … 40 (2017), pp. 116-135
Persistent link: https://www.econbiz.de/10011878799
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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
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Generalized affine transform on pricing quanto range accrual note
Li, Shaoyu; Huang, Henry He; Zhang, Teng - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012665783
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Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
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Approximate analytic solution for Asian options with stochastic volatility
Lin, Chung-Gee; Chang, Chia-Chang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012667176
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Is there one safe-haven for various turbulences? : the evidence from gold, Bitcoin and Ether
Będowska-Sójka, Barbara; Kliber, Agata - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012821881
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Jump Interdependencies : stochastic linkages among international stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822184