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Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions
Hilliard, Jimmy E.; Hilliard, Jitka; Ngo, Julie T. D. - In: Journal of commodity markets : JCM 35 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015077292
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The VIX, VXO and realised volatility : a test of lagged and contemporaneous relationships
Adhikari, Binay Kumar; Hilliard, Jimmy E. - In: International journal of financial markets and derivatives 3 (2014) 3, pp. 222-240
Persistent link: https://www.econbiz.de/10010406927
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Binomial option pricing under stochastic volatility and correlated state variables
Hilliard, Jimmy E. - In: The journal of derivatives : the official publication … 4 (1996) 1, pp. 23-39
Persistent link: https://www.econbiz.de/10001207627
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Jump processes in commodity futures prices and options pricing
Hilliard, Jimmy E.; Reis, Jorge - In: American journal of agricultural economics 81 (1999) 2, pp. 273-286
Persistent link: https://www.econbiz.de/10001387252
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Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.; Ngo, Julie T. D. - In: Quantitative finance 22 (2022) 11, pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
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Testing Greeks and price changes in the S&P 500 options and futures contract : a regression analysis
Hilliard, Jitka - In: International review of financial analysis 26 (2013), pp. 51-58
Persistent link: https://www.econbiz.de/10009717219
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Hedging price changes in the S&P 500 options and futures contracts : the effect of different measures of implied volatility
Hilliard, Jitka - In: International journal of financial markets and derivatives 3 (2014) 3, pp. 241-259
Persistent link: https://www.econbiz.de/10010406920
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Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka; Li, Wei - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 599-626
Persistent link: https://www.econbiz.de/10010431376