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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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Impacts of derivative markets on spot market volatility and their persistence
Fong, Lik; Han, Chulwoo - In: Applied economics 47 (2015) 22/24, pp. 2250-2258
Persistent link: https://www.econbiz.de/10010516655
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Drawbacks and limitations of Black-Scholes model for options pricing
Janková, Zuzana - In: Journal of financial studies & research : JFSR 2018 (2018), pp. 1-7
Persistent link: https://www.econbiz.de/10011977593
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Does options improve the information absorption? : evidence from the introduction of weekly index options
Jain, Prachi; Kotha, Kiran Kumar - In: International review of finance : the official journal … 22 (2022) 4, pp. 770-776
Persistent link: https://www.econbiz.de/10013472716
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Stock market momentum, business conditions, and GARCH option pricing models
Chiang, Min-Hsien; Huang, Hsin-yi - In: Journal of empirical finance 18 (2011) 3, pp. 488-505
Persistent link: https://www.econbiz.de/10009302078
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Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10010375952
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The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
Ederington, Louis H.; Guan, Wei - In: Journal of banking & finance 37 (2013) 9, pp. 3388-3400
Persistent link: https://www.econbiz.de/10010126417
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Forward-looking market risk premium
Duan, Jin-Chuan; Zhang, Weiqi - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 521-538
Persistent link: https://www.econbiz.de/10010258775
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Estimating and using GARCH models with VIX data for option valuation
Kanniainen, Juho; Lin, Binghuan; Yang, Hanxue - In: Journal of banking & finance 43 (2014), pp. 200-211
Persistent link: https://www.econbiz.de/10010410004