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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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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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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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Uncertainty about interest rates and the real economy
Qadan, Mahmoud; Shuval, Kerem; David, Or - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014485443
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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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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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Catastrophe equity put options with floating strike prices
Wang, Xingchun - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012665469
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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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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