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A simplified pricing model for volatility futures
Dupoyet, Brice; Daigler, Robert T.; Chen, Zhiyao - In: The journal of futures markets 31 (2011) 4, pp. 307-339
Persistent link: https://www.econbiz.de/10008908397
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The performance of VIX option pricing models : empirical evidence beyond simulation
Wang, Zhiguang; Daigler, Robert T. - In: The journal of futures markets 31 (2011) 3, pp. 251-281
Persistent link: https://www.econbiz.de/10008908399
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Pricing VIX futures : evidence from integrated physical and risk-neutral probability measures
Lin, Yueh-neng - In: The journal of futures markets 27 (2007) 12, pp. 1175-1217
Persistent link: https://www.econbiz.de/10003627193
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S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
Corrado, Charles Joseph - In: The journal of futures markets 16 (1996) 6, pp. 611-629
Persistent link: https://www.econbiz.de/10001206958
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Maximum entropy in option pricing : a convex-spline smoothing method
Guo, Weiyu - In: The journal of futures markets 21 (2001) 9, pp. 819-832
Persistent link: https://www.econbiz.de/10001595306
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Pricing and hedging S&P 500 index options with Hermite polynomial approximation : empirical tests of Madan and Milne's model
Ané, Thierry - In: The journal of futures markets 19 (1999) 7, pp. 735-758
Persistent link: https://www.econbiz.de/10001443345
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Predicting stock market volatility : a new measure
Fleming, Jeff - In: The journal of futures markets 15 (1995) 3, pp. 265-302
Persistent link: https://www.econbiz.de/10001180182
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An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378
Persistent link: https://www.econbiz.de/10001242646
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Do S&P 500 index options violate the martingale restriction?
Strong, Norman; Xu, Xinzhong - In: The journal of futures markets 19 (1999) 5, pp. 499-521
Persistent link: https://www.econbiz.de/10001410411
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Implied correlation index : a new measure of diversification
Skintzi, Vasiliki D.; Refenes, Apostolos-Paul - In: The journal of futures markets 25 (2005) 2, pp. 171-197
Persistent link: https://www.econbiz.de/10002535466