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Optimal approximations of nonlinear payoffs in static replication
Liu, Qiang - In: The journal of futures markets 30 (2010) 11, pp. 1082-1099
Persistent link: https://www.econbiz.de/10008900938
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Economic determinants of default risks and their impacts on credit derivative pricing
Liao, Szu-Lang; Chang, Jui-jane - In: The journal of futures markets 30 (2010) 11, pp. 1058-1081
Persistent link: https://www.econbiz.de/10008900939
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Pricing and hedging in the freight futures market
Prokopczuk, Marcel - In: The journal of futures markets 31 (2011) 5, pp. 440-464
Persistent link: https://www.econbiz.de/10009009224
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Time-varying market price of risk in the crude oil futures market
Bhar, Ramaprasad; Lee, Damien - In: The journal of futures markets 31 (2011) 8, pp. 779-807
Persistent link: https://www.econbiz.de/10009157424
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Valuing seller-defaultable options
Lu, Jin-ray; Chen, Yi-chun; Hwang, Chih-chiang; Ting, … - In: The journal of futures markets 33 (2013) 2, pp. 129-157
Persistent link: https://www.econbiz.de/10009699452
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A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
Fonseca, José da; Gottschalk, Katrin - In: The journal of futures markets 33 (2013) 6, pp. 494-517
Persistent link: https://www.econbiz.de/10009756569
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Inflation derivatives under inflation target regimes
Avriel, Mordekhai; Hilscher, Jens; Raviv, Alon - In: The journal of futures markets 33 (2013) 10, pp. 911-938
Persistent link: https://www.econbiz.de/10010203622
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Monte Carlo simulation of the CGMY process and option pricing
Ballotta, Laura; Kyriakou, Ioannis - In: The journal of futures markets 34 (2014) 12, pp. 1095-1121
Persistent link: https://www.econbiz.de/10010508677
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Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Tian, Lihui; Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: The journal of futures markets 34 (2014) 10, pp. 957-979
Persistent link: https://www.econbiz.de/10010508685
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HDD and CDD option pricing with market price of weather risk for Taiwan
Huang, Hung-hsi; Shiu, Yung-ming; Lin, Pei-syun - In: The journal of futures markets 28 (2008) 8, pp. 790-814
Persistent link: https://www.econbiz.de/10003746348