Narrow search
Showing 1 - 10 of 4,283
Cover Image
Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
Cover Image
Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data
Walter, Christian (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001577552
Cover Image
Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data
Walter, Christian; López Marín, José Alberto - 1997
Persistent link: https://www.econbiz.de/10001380840
Cover Image
Empirical study of Nikkei 225 options with the Markov switching GARCH model
Satoyoshi, Kiyotaka; Mitsui, Hidetoshi - In: Asia-Pacific financial markets 18 (2011) 1, pp. 55-68
Persistent link: https://www.econbiz.de/10009237749
Cover Image
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Cover Image
Option pricing with Markov switching stochastic volatility models
Cheng, Yiying - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 53-63
Persistent link: https://www.econbiz.de/10012601380
Cover Image
Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i; Huang, Teng-ching; Lin, Bing-huei - In: The North American journal of economics and finance : a … 25 (2013), pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
Cover Image
Option pricing with conditional GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: European journal of operational research : EJOR 289 (2021) 1, pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
Cover Image
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán; Constantinou, Nick - In: Journal of empirical finance 53 (2019), pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Cover Image
Volatility is (mostly) path-dependent
Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908