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ECONIS (ZBW)
1,006
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1
A bias in the volatility smile
Chance, Don M.
;
Hanson, Thomas A.
;
Li, Weiping
; …
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
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2
Fractional Brownian motion in option pricing and dynamic delta hedging : experimental simulations
Dufera, Tamirat Temesgen
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014445631
Saved in:
3
An options-based approach to forecast competing bids : evidence for Canadian takeover battles
Eichler, Stefan
;
Maltritz, Dominik
- In:
Applied economics
45
(
2013
)
34/36
,
pp. 4805-4819
Persistent link: https://www.econbiz.de/10010225365
Saved in:
4
Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Miao, Daniel Wei-chung
;
Lin, Xenos Chang-shuo
;
Chao, …
- In:
Operations research letters
42
(
2014
)
1
,
pp. 27-33
Persistent link: https://www.econbiz.de/10010259274
Saved in:
5
Pricing European options in a delay model with jumps
Imdad, Zaheer
;
Zhang, Tusheng
- In:
Journal of financial engineering
1
(
2014
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10010508745
Saved in:
6
A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles
;
Fuh, Cheng-der
;
Lin, Shih-kuei
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451
Saved in:
7
Integrated dynamic models for hedging international portfolio risks
Topaloglou, Nikolas
;
Vladimirou, Hercules
;
Zenios, …
- In:
European journal of operational research : EJOR
285
(
2020
)
1
,
pp. 48-65
Persistent link: https://www.econbiz.de/10012239474
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8
Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos
;
Back, Janis
; …
- In:
Journal of banking & finance
66
(
2016
),
pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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9
Hedging of options in the presence of jump clustering
Hainaut, Donatien
;
Moraux, Franck
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
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10
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
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