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On the qualitative effect of volatility and duration on prices of Asian options

Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171

Persistent link: https://www.econbiz.de/10003769897

On the qualitative effect of volatility and duration on prices of Asian options

Carr, Peter; Ewald, CXhristian-Oliver; Xiao, Yajun - 2008

Persistent link: https://www.econbiz.de/10003680543

Vol, skew, and smile trading

Al-Jaaf, Aşty; Carr, Peter - In: The journal of derivatives : JOD 31 (2023) 1, pp. 64-95

Persistent link: https://www.econbiz.de/10014422386

A new tempered stable distribution and its application to finance

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008

Persistent link: https://www.econbiz.de/10003781614

Reward-risk momentum strategies using classical tempered stable distribution

Choi, Jaehyung; Kim, Young Shin; Mitov, Ivan - In: Journal of banking & finance 58 (2015), pp. 194-213

Persistent link: https://www.econbiz.de/10011543976

Quanto option pricing in the presence of fat tails and asymmetric dependence

Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520

Persistent link: https://www.econbiz.de/10011499753

Tempered stable processes with time-varying exponential tails

Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561

Persistent link: https://www.econbiz.de/10013167779

Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution

Choi, Jaehyung - 2015

We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alternative portfolios are obtained in various asset classes and markets. The reward-risk momentum strategies with lower...

Persistent link: https://www.econbiz.de/10013033920

Additive logistic processes in option pricing

Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724

Persistent link: https://www.econbiz.de/10012665200

Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse

Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322

Persistent link: https://www.econbiz.de/10011704246