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Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo; Li, Shenghong; Ma, Yong - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
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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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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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Jump dynamics, spillover effect and option valuation
Pan, Zhiyuan; Shuai, Jiangyu; Liang, Zhilei; Sun, Xianchao - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013534098
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Valuation of piecewise linear barrier options
Lee, Hangsuck; Ha, Hongjun; Lee, Minha - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013186470
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Hedging and pricing early-exercise options with complex fourier series expansion
Chan, Tat Lung - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-25
Persistent link: https://www.econbiz.de/10012666044
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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 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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Min-max multi-step barrier options and their variants
Lee, Hangsuck; Lee, Gaeun; Song, Seongjoo - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014484160
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Implied volatility and the risk-free rate of return in options markets
Bianconi, Marcelo; McLachlan, Scott; Sammon, Marco - In: The North American journal of economics and finance : a … 31 (2015), pp. 1-26
Persistent link: https://www.econbiz.de/10011511024