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Stochastic dominance bounds on derivatives price in a multiperiod economy with proportional transaction costs

Kōnstantinidēs, Giōrgos; Perrakis, Stylianos - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1323-1352

Persistent link: https://www.econbiz.de/10001656093

Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial mar...

Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785

Persistent link: https://www.econbiz.de/10001467848

Mean-reverting stochastic volatility

Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 101-142

Persistent link: https://www.econbiz.de/10001488358

Common asset pricing factors in volatilities and returns in futures markets

Siddique, Akhtar R. - In: Journal of banking & finance 27 (2003) 12, pp. 2347-2368

Persistent link: https://www.econbiz.de/10001824109

Equilibrium preference free pricing of derivatives under the generalized beta distributions

Ikeda, Masayuki - In: Review of derivatives research 13 (2010) 3, pp. 297-332

Persistent link: https://www.econbiz.de/10008695881

Maximum likelihood estimation of the Hull-White model

Kladívko, Kamil; Rusý, Tomáš - In: Journal of empirical finance 70 (2023), pp. 227-247

Persistent link: https://www.econbiz.de/10014423686

Common Asset Pricing Factors in Volatilities and Returns in Futures Markets

Siddique, Akhtar R. - 2002

Factor-based asset pricing models have been used to explain the common predictable variation in excess asset returns. This paper combines means with volatilities of returns in several futures markets to explain their common predictable variation. Using a latent variables methodology, tests do...

Persistent link: https://www.econbiz.de/10012787182