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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
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Model specification of conditional jump intensity : Evidence from S&P 500 returns and option prices
Cheng, Hung-Wen; Lo, Chien-Ling; Tsai, Jeffrey Tzuhao - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012667167
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Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i; Huang, Teng-ching; Lin, Bing-huei - In: The North American journal of economics and finance : a … 25 (2013), pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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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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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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Option pricing under GARCH models with Hansen's skewed-t distributed innovations
Liu, Yanxin; Siu-Hang Li, Johnny; Ng, Andrew Cheuk-Yin - In: The North American journal of economics and finance : a … 31 (2015), pp. 108-125
Persistent link: https://www.econbiz.de/10011511067
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Option pricing under truncated Gram-Charlier expansion
Lin, Shin-Hung; Huang, Hung-Hsi; Li, Sheng-Han - In: The North American journal of economics and finance : a … 32 (2015), pp. 77-97
Persistent link: https://www.econbiz.de/10011514435
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Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading
Liu, Zhibin; Huang, Shang-Ho - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012667720