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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
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Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
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A guide to FX options quoting conventions
Reiswich, Dimitri; Wystup, Uwe - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 58-68
Persistent link: https://www.econbiz.de/10008771850
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Quanto pricing with copulas
Bennett, Michael N.; Kennedy, Joanne E. - In: The journal of derivatives : the official publication … 12 (2004) 1, pp. 26-45
Persistent link: https://www.econbiz.de/10002210955
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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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Expected option returns
Coval, Joshua; Shumway, Tyler - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 983-1009
Persistent link: https://www.econbiz.de/10001593017
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The price of options illiquidity
Brenner, Menachem; Eldor, Rafi; Hauser, Shmuel - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 789-805
Persistent link: https://www.econbiz.de/10001604145
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A numerical approach to American currency option valuation
Choi, Seung-mook S.; Marcozzi, Michael D. - In: The journal of derivatives : the official publication … 9 (2001) 2, pp. 19-29
Persistent link: https://www.econbiz.de/10001634680
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Calculation of volatility in a jump-diffusion model
Navas, Javier F. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 66-72
Persistent link: https://www.econbiz.de/10001861586
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Pricing foreign currency and cross-currency options under GARCH
Duan, Jin-Chuan; Wei, Jason - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 51-68
Persistent link: https://www.econbiz.de/10001432469