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A practical guide to forecasting : financial markets volatility

Poon, Ser-Huang - 2005

Persistent link: https://www.econbiz.de/10013489917

Moneyness, underlying asset volatility, and the cross-section of option returns*

Aretz, Kevin; Lin, Ming-Tsung; Poon, Ser-Huang - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 289-323

Persistent link: https://www.econbiz.de/10013543163

Option pricing with random risk aversion

Vitiello, Luiz; Poon, Ser-Huang - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1665-1684

Persistent link: https://www.econbiz.de/10013191990

What does risk-neutral skewness tell us about future stock returns?

Stilger, Przemysław S.; Kostakis, Alexandros; Poon, … - In: Management science : journal of the Institute for … 63 (2017) 6, pp. 1814-1834

Persistent link: https://www.econbiz.de/10011707251

General equilibrium and risk neutral framework for option pricing with a mixture of distributions

Vitiello, Luiz; Poon, Ser-Huang - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 48-60

Persistent link: https://www.econbiz.de/10003733227

General equilibrium and preference free model for pricing options under transformed gamma distribution

Vitiello, Luiz; Poon, Ser-Huang - In: The journal of futures markets 30 (2010) 5, pp. 409-431

Persistent link: https://www.econbiz.de/10003962630

Financial modeling under non-Gaussian distributions

Jondeau, Eric; Poon, Ser-Huang; Rockinger, Michael - 2007

Persistent link: https://www.econbiz.de/10003284155

Price convergence between credit default swap and put option : new evidence

Chan, Ka Kei; Kolokolova, Olga; Lin, Ming-Tsung; Poon, … - In: Journal of empirical finance 72 (2023), pp. 188-213

Persistent link: https://www.econbiz.de/10014476820

Derivatives pricing with affine models and numerical implementation

Chen, Mark Ke; Poon, Ser-Huang - In: Handbook of research methods and applications in …, (pp. 148-168). 2013

Persistent link: https://www.econbiz.de/10011897397

Multi-level Monte Carlo simulations with importance sampling

Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013

We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte Carlo significantly improves its effective...

Persistent link: https://www.econbiz.de/10010206934