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On the nonstationarity of convertible bond betas : theory and evidence

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Biases and sensitivities of the black-scholes option price

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Alternative methods to estimate implied variance : review and comparison

Chen, Yibing; Lee, Cheng F.; Lee, John; Chang, Jow-Ran - In: Review of Pacific Basin financial markets and policies 21 (2018) 4, pp. 1-28

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Handbook of financial econometrics, mathematics, statistics, and machine learning

Lee, Cheng F. (ed.); Lee, John C. (ed.) - 2021

"This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and...

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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model

Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017

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R-2GAM stochastic volatility model : flexibility and calibration

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Financial econometrics, mathematics, statistics, and financial technology : an overall view

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Option prices and stock market momentum : evidence from China

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Bounds for option prices and the expected payoffs with skewness and kurtosis

Lee, Cheng F.; Zhang, Peter; Lee, Alice C. - In: Advances in quantitative analysis of finance and … 10 (2002), pp. 117-138

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The constant elasticity of variance models : new evidence from S&P 500 index options

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Persistent link: https://www.econbiz.de/10002131787