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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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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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Testing Greeks and price changes in the S&P 500 options and futures contract : a regression analysis
Hilliard, Jitka - In: International review of financial analysis 26 (2013), pp. 51-58
Persistent link: https://www.econbiz.de/10009717219
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Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka; Li, Wei - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 599-626
Persistent link: https://www.econbiz.de/10010431376