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Volatility smiles when information is lagged in prices
Marcato, Gianluca; Sebehela, Tumellano; Campani, Carlos … - In: The North American journal of economics and finance : a … 46 (2018), pp. 151-165
Persistent link: https://www.econbiz.de/10012036614
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On the exercise of American quanto options
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013538939
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Compound option pricing under a double exponential Jump-diffusion model
Liu, Yu-hong; Jiang, I-Ming; Hsu, Wei-tze - In: The North American journal of economics and finance : a … 43 (2018), pp. 30-53
Persistent link: https://www.econbiz.de/10012036254
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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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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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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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Optimal corporate hedging using options with basis and production risk
Bajo, Emanuele; Barbi, Massimiliano; Romagnoli, Silvia - In: The North American journal of economics and finance : a … 30 (2014), pp. 56-71
Persistent link: https://www.econbiz.de/10010463594
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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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Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments
Lee, Hangsuck; Ahn, Soohan; Ko, Bangwon - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-13
Persistent link: https://www.econbiz.de/10012203169
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Pricing European continuous-installment strangle options
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012204447