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Option implied cost of equity and its properties
Câmara, António; Chung, San-lin; Wang, Yaw-huei - In: The journal of futures markets 29 (2009) 7, pp. 599-629
Persistent link: https://www.econbiz.de/10003842906
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What moves the tail? : The determinants of the option-implied probability density function of the DAX index
Glatzer, Ernst; Scheicher, Martin - In: The journal of futures markets 25 (2005) 6, pp. 515-536
Persistent link: https://www.econbiz.de/10002846386
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Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian; Gazi, Adnan - In: The journal of futures markets 44 (2024) 5, pp. 720-743
Persistent link: https://www.econbiz.de/10014536677
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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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Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan; Agarwalla, Sobhesh Kumar; Varma, … - In: The journal of futures markets 43 (2023) 11, pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
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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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General equilibrium and preference free model for pricing options under transformed gamma distribution
Vitiello, Luiz; Poon, Ser-Huang - In: The journal of futures markets 30 (2010) 5, pp. 409-431
Persistent link: https://www.econbiz.de/10003962630
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Empirical tests of canonical nonparametric American option-pricing methods
Alcock, Jamie; Auerswald, Diana - In: The journal of futures markets 30 (2010) 6, pp. 509-532
Persistent link: https://www.econbiz.de/10003962643
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The economic significance of conditional skewness in Index Option Markets
Jha, Ranjini; Kalimipalli, Madhu - In: The journal of futures markets 30 (2010) 4, pp. 378-406
Persistent link: https://www.econbiz.de/10003962606
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Pricing European Asian options with skewness and kurtosis in the underlying distribution
Lo, Keng-hsin; Wang, Kehluh; Hsu, Ming-feng - In: The journal of futures markets 28 (2008) 6, pp. 598-616
Persistent link: https://www.econbiz.de/10003715035