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A stochastic-volatility model for pricing power variants of exchange options
Xia, Weixuan - In: The journal of derivatives : the official publication … 26 (2019) 4, pp. 113-127
Persistent link: https://www.econbiz.de/10012306204
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Do lead-lag effects affect derivative pricing?
Korn, Olaf; Uhrig-Homburg, Marliese - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 34-51
Persistent link: https://www.econbiz.de/10003611417
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Determinants of trading activity on the single-stock future market : evidence from the Eurex Exchange
Białkowski, Je̜drzej; Jakubowski, Jacek - In: The journal of derivatives : the official publication … 19 (2012) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10009671108
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Long-memory versus option-implied volatility predictions
Li, Kai - In: The journal of derivatives : the official publication … 9 (2002) 3, pp. 9-25
Persistent link: https://www.econbiz.de/10001708432
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Pricing and hedging volatility derivatives
Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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Price discovery in the foreign currency futures and spot market
Rosenberg, Joshua V.; Traub, Leah G. - In: The journal of derivatives : the official publication … 17 (2009/10) 2, pp. 7-25
Persistent link: https://www.econbiz.de/10003924986
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Cross-currency equity swaps in the BGM model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
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Pricing foreign index contingent claims : an application to Nikkei Index warrants
Dravid, Ajay R. - In: The journal of derivatives : the official publication … 1 (1993) 1, pp. 33-51
Persistent link: https://www.econbiz.de/10001202809
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Time series modeling of daily log-price ranges for CHF/USD and USD/GBP
Brunetti, Celso; Lildholdt, Peter M. - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 39-59
Persistent link: https://www.econbiz.de/10003673308
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An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10008655519