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Risk contribution is exposure times volatility times correlation : decomposing risk using the x-sigma-rho formula

Menchero, Jose; Davis, Benjamin - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 97-106

Persistent link: https://www.econbiz.de/10009273909

The 2019 government shutdown increased uncertainty in major agricultural commodity markets

Goyal, Raghav; Adjemian, Michael K. - In: Food policy : economics planning and politics of food … 102 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012817189

Forward looking up-/down correlations

Schadner, Wolfgang - In: Quantitative finance and economics 5 (2021) 3, pp. 471-495

Persistent link: https://www.econbiz.de/10012592490

A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil

Argento, Pedro; Klotzle, Marcelo Cabus; Pinto, Antônio … - In: International journal of energy sector management 16 (2022) 3, pp. 448-468

Persistent link: https://www.econbiz.de/10013345666

Exchange rate volatility and domestic consumption in the G7 : an asymmetric analysis

Bahmani-Oskooee, Mohsen; Baek, Jungho - In: Applied economics quarterly 67 (2021) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10013165459

Consumption risks in option returns

Yang, Shuwen; Aretz, Kevin; Liu, Hening; Zhang, Yuzhao - In: Journal of empirical finance 69 (2022), pp. 285-302

Persistent link: https://www.econbiz.de/10013478527

Option valuation with long-run and short-run volatility components

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297

Persistent link: https://www.econbiz.de/10003833351

Modeling volatility in foreign currency option pricing

Hoque, Ariful; Chan, Felix; Manzur, Meher - In: Multinational finance journal : MF ; quarterly … 13 (2009) 3/4, pp. 189-208

Persistent link: https://www.econbiz.de/10008654497

Estimation of an EGARCH volatility option pricing model using a bacteria foraging optimisation algorithm

Dang, Jing; Brabazon, Anthony; O'Neill, Michael; … - In: Natural computing in computational finance ; [the …, (pp. 109-127). 2008

Persistent link: https://www.econbiz.de/10009515172

Pricing of options under different volatility models

Herzberg, Markus (contributor); … - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10002569929

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