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Pricing forward skew dependent derivatives : multifactor versus single-factor stochastic volatility models
Marabel Romo, Jacinto - In: The journal of futures markets 34 (2014) 2, pp. 124-144
Persistent link: https://www.econbiz.de/10010255495
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Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators : an affine jump-diffusion approach
Aschakulporn, Pakorn; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 3, pp. 365-388
Persistent link: https://www.econbiz.de/10012817922
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Option pricing with overnight and intraday volatility
Liang, Fang; Du, Lingshan; Huang, Zhuo - In: The journal of futures markets 43 (2023) 11, pp. 1576-1614
Persistent link: https://www.econbiz.de/10014432919
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Option pricing with maximum entropy densities : the inclusion of higher-order moments
Ardakani, Omid M. - In: The journal of futures markets 42 (2022) 10, pp. 1821-1836
Persistent link: https://www.econbiz.de/10013465823
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Option pricing with dynamic conditional skewness
Liang, Fang; Du, Lingshan - In: The journal of futures markets 44 (2024) 7, pp. 1154-1188
Persistent link: https://www.econbiz.de/10014553957
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Forecasting volatility : roles of sampling frequency and forecasting horizon
Chan, Wing Hong; Cheng, Xin; Fung, Joseph K. W. - In: The journal of futures markets 30 (2010) 12, pp. 1167-1191
Persistent link: https://www.econbiz.de/10008901291
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Can technical indicators based on underlying assets help to predict implied volatility index
Shi, Yafeng; Shi, Yanlong; Ying, Tingting - In: The journal of futures markets 44 (2024) 1, pp. 57-74
Persistent link: https://www.econbiz.de/10014475424
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Volatility model applications in China's SSE50 options market
Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
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Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
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Multistep forecast of the implied volatility surface using deep learning
Medvedev, Nikita; Wang, Zhiguang - In: The journal of futures markets 42 (2022) 4, pp. 645-667
Persistent link: https://www.econbiz.de/10013187579