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How short-termed is the trading behaviour in Eurex futures markets?

Dorfleitner, Gregor - In: Applied financial economics 14 (2004) 17, pp. 1269-1279

Persistent link: https://www.econbiz.de/10002415157

Essays on derivatives pricing in incomplete markets

Gerer, Johannes - 2016

Persistent link: https://www.econbiz.de/10012128861

Time consistent pricing of options with embedded decisions

Dorfleitner, Gregor; Gerer, Johannes - In: Review of derivatives research 23 (2020) 1, pp. 85-119

Persistent link: https://www.econbiz.de/10012229784

Concentration on the nearby contract in financial futures markets : a stochastic model to explain the phenomenon

Bamberg, Günter; Dorfleitner, Gregor - In: Journal of economics and finance 24 (2000) 3, pp. 246-259

Persistent link: https://www.econbiz.de/10001569180

The pricing of temperature futures at the Chicago Mercantile Exchange

Dorfleitner, Gregor; Wimmer, Maximilian - In: Journal of banking & finance 34 (2010) 6, pp. 1360-1370

Persistent link: https://www.econbiz.de/10003978408

A note on utility indifference pricing

Gerer, Johannes; Dorfleitner, Gregor - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-17

Persistent link: https://www.econbiz.de/10011572373

Concentration on the nearby contract in futures markets : a simple stochastic model to explain the phenomenon

Bamberg, Günter; Dorfleitner, Gregor - 1998

Persistent link: https://www.econbiz.de/10013374661

The Pricing of Temperature Futures at the Chicago Mercantile Exchange

Dorfleitner, Gregor - 2011

This paper analyzes observed prices of U.S. temperature futures at the Chicago Mercantile Exchange (CME). Results show that an index modeling approach without detrending captures the prices exceptionally well. Moreover, weather forecasts significantly influence prices up to 11 days ahead. It is...

Persistent link: https://www.econbiz.de/10013134100