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Using multivariate densities to assign lattice probabilities when there are jumps
Hilliard, Jimmy E.; Hilliard, Jitka - In: The journal of futures markets 35 (2015) 4, pp. 385-398
Persistent link: https://www.econbiz.de/10011348412
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Pricing American options when there is short-lived arbitrage
Hilliard, Jimmy E.; Hilliard, Jitka - In: International journal of financial markets and derivatives 4 (2015) 1, pp. 43-53
Persistent link: https://www.econbiz.de/10011316656
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Estimating early exercise premiums on gold and copper options using a multifactor model and density matched lattices
Hilliard, Jimmy E.; Hilliard, Jitka - In: The financial review : the official publication of the … 50 (2015) 1, pp. 27-56
Persistent link: https://www.econbiz.de/10010503982
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A jump-diffusion model for pricing and hedging with margined options : an application to Brent crude oil contracts
Hilliard, Jimmy E.; Hilliard, Jitka - In: Journal of banking & finance 98 (2019), pp. 137-155
Persistent link: https://www.econbiz.de/10012162247
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An adaptive model for security prices driven by latent values : parameter estimation and option pricing effects
Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 22 (2022) 7, pp. 1231-1246
Persistent link: https://www.econbiz.de/10013367896
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Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions
Hilliard, Jimmy E.; Hilliard, Jitka; Ngo, Julie T. D. - In: Journal of commodity markets : JCM 35 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015077292
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Short-maturity options and jump memory
Arnold, Tom; Hilliard, Jimmy E.; Schwartz, Adam - In: The journal of financial research 30 (2007) 3, pp. 437-454
Persistent link: https://www.econbiz.de/10003537005
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Pricing an option on revenue from an innovation: an application to movie box office revenue
Chance, Don M.; Hillebrand, Eric; Hilliard, Jimmy E. - In: Management science : journal of the Institute for … 54 (2008) 5, pp. 1015-1028
Persistent link: https://www.econbiz.de/10003735586
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Binomial option pricing under stochastic volatility and correlated state variables
Hilliard, Jimmy E. - In: The journal of derivatives : the official publication … 4 (1996) 1, pp. 23-39
Persistent link: https://www.econbiz.de/10001207627
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Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 61-86
Persistent link: https://www.econbiz.de/10001243204