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Time-varying volatility estimates in option pricing : can superior estimates be obtained?
Brailsford, Timothy J.; Oliver, Barry R. - 1993 - 1. draft
Persistent link: https://www.econbiz.de/10000889671
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Option hedging using empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000643460
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Discrete time hedging of OTC options in a GARCH environment : a simulation experiment
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000959376
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An analysis of the predictive ability of the Black-Scholes option pricing model in the Netherlands
Hand, Megan - 1994
Persistent link: https://www.econbiz.de/10000959539
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Evaluating the performance of portfolios with options
Sheedy, Elizabeth A.; Trevor, Robert G. - 1996
Persistent link: https://www.econbiz.de/10000960644
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Mandelbrot and the smile
Lehnert, Thorsten - In: Kredit und Kapital 42 (2009) 1, pp. 125-144
Persistent link: https://www.econbiz.de/10003831708
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Self exciting threshold interest rates models
Decamps, Marc; Goovaerts, Marc J.; Schoutens, Wim - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1093-1122
Persistent link: https://www.econbiz.de/10003395984
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Bank capital regulation in a barrier option framework
Episcopos, Athanasios - In: Journal of banking & finance 32 (2008) 8, pp. 1677-1686
Persistent link: https://www.econbiz.de/10003749410
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Default risk in bond and credit derivatives markets
Benkert, Christoph - 2004
Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...
Persistent link: https://www.econbiz.de/10002146228