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Seasonality and stochastic volatility in wheat options
Osei, Michael; Wang, Zhiguang - In: The journal of economics 41 (2015) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011437374
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Pricing and hedging European energy derivatives : a case study of WTI oil options
Hsu, Chih-chen; Lin, Shih-kuei; Chen, Ting-fu - In: Asia-Pacific journal of financial studies 43 (2014) 3, pp. 317-355
Persistent link: https://www.econbiz.de/10010408044
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Volatility and price jumps in agricultural futures prices : evidence from wheat options
Koekebakker, Steen; Lien, Gudbrand - In: American journal of agricultural economics 86 (2004) 4, pp. 1018-1031
Persistent link: https://www.econbiz.de/10002388555
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On the Seasonality in the Implied Volatility of Electricity Options
Fanelli, Viviana - 2020
seasonal. In this paper, we study empirically the implied volatility of options on electricity futures, investigate whether …. Moreover, we find clear seasonal patterns in the level of the volatility depending on the delivery month of the futures, and …
Persistent link: https://www.econbiz.de/10012852325
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Seasonality in Commodity Prices : New Approaches for Pricing Plain Vanilla Options
Frau, Carme; Fanelli, Viviana - 2021
incorporating seasonal stochastic volatility represented with of two different sinusoidal expressions. We obtain an analytical …
Persistent link: https://www.econbiz.de/10013323746
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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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On the seasonality in the implied volatility of electricity options
Fanelli, Viviana; Schmeck, Maren Diane - In: Quantitative finance 19 (2019) 8, pp. 1321-1337
Persistent link: https://www.econbiz.de/10012194790
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Recovering risk-neutral densities from exchange rate options : evidence in Turkey
Aydin, Halil Ibrahim; Değ̆erli, Ahmet; Özlü, Pınar - 2010
Persistent link: https://www.econbiz.de/10003956043
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Originating long-term fixed-rate mortgages in developing economies : new evidence from Turkey
Erol, Işıl; Çetinkaya, Özgenay - In: ODTÜ gelişme dergisi / Orta Doǧu Teknik … 36 (2009) 2, pp. 325-362
Persistent link: https://www.econbiz.de/10009156207
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Connections between discrete-time and continuous-time financial models
Sun, Tong-sheng - 1987
Persistent link: https://www.econbiz.de/10000167721