Similar Search Results

Stochastic volatility models for the implied correlation index : evidence, properties and pricing

Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438998

Increased correlation among asset classes : Are volatility or jumps to blame, or both?

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10011705106

Implied correlations of iTraxx tranches during the financial crisis

Heidorn, Thomas; Kahlert, Dennis - 2010

implied base correlations of iTraxx tranches. -- Implied Correlation ; Asset Correlation ; Systematic Credit Risk ; Market …

Persistent link: https://www.econbiz.de/10003981941

The Correlation between the Value of Mortgage-Backed Securities & the Value of FTSE 100 Shares Price Index : September 2013 Prices

Mohamed, Ghada Gomaa A. - 2021

the correlation between these instruments' value and the value of the FTSE 100 share price index. The correlation between …

Persistent link: https://www.econbiz.de/10013239180

The continuous limit of weak GARCH

Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216

Persistent link: https://www.econbiz.de/10012483807

Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market

Urama, Thomas Chinwe; Ezepue, Patrick Oseloka - In: Journal of mathematical finance 8 (2018) 4, pp. 640-667

Persistent link: https://www.econbiz.de/10012016532

Cross-section stock return and implied covariance between jump and diffusive volatility

Ze-To, Samuel Yau Man - In: Journal of forecasting 34 (2015) 5, pp. 379-390

Persistent link: https://www.econbiz.de/10011318319

On the Pricing and Sensitivity of Spread Options on Two Correlated Assets

Baeva, Teodora - 2011

We consider the exact analytical pricing of an European option written on the spread between two correlated underlying assets. General model-independent properties of the option price are observed and an exact analytical expression for the spread option value is derived in the case of two...

Persistent link: https://www.econbiz.de/10013125403

Current topics in asset pricing with option-implied data

Schönleber, Lorenzo - 2020

Persistent link: https://www.econbiz.de/10012436179

Ze-To, Samuel Yau Man - In: Accounting and finance : journal of the Accounting … 56 (2016) 4, pp. 1187-1214

Persistent link: https://www.econbiz.de/10011660377

1
2
3
4
5
6
7
8
9
10
Next
Last