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Preference-free option pricing...
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Heston, Steven L.
22
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1
A closed-form GARCH option valuation model
Heston, Steven L.
;
Nandi, Saikat
- In:
The review of financial studies
13
(
2000
)
3
,
pp. 585-625
Persistent link: https://www.econbiz.de/10001499745
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2
A two-factor term structure model under GARCH volatility
Heston, Steven L.
;
Nandi, Saikat
- In:
The journal of fixed income
13
(
2003
)
1
,
pp. 87-95
Persistent link: https://www.econbiz.de/10001782469
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3
Valuation models for default-risky securities : an overview
Nandi, Saikat
- In:
Economic review
83
(
1998
)
4
,
pp. 22-35
Persistent link: https://www.econbiz.de/10001352539
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4
Treasury auctions : what do the recent models and results tell us?
Nandi, Saikat
- In:
Economic review
82
(
1997
)
4
,
pp. 4-15
Persistent link: https://www.econbiz.de/10001234406
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5
How important is the correlation between returns and volatility in a stochastic volatility model? : Empirical evidence from pricing and hedging in the S&P 500 index options market
Nandi, Saikat
- In:
Journal of banking & finance
22
(
1998
)
5
,
pp. 589-610
Persistent link: https://www.econbiz.de/10001243308
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6
Asymmetric information about volatility : how does it affect implied volatility, option prices and market liquidity?
Nandi, Saikat
- In:
Review of derivatives research
3
(
1999
)
3
,
pp. 215-236
Persistent link: https://www.econbiz.de/10001493258
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7
A model of discontinuous interest rate behavior, yield curves, and volatility
Heston, Steven L.
- In:
Review of derivatives research
10
(
2007
)
3
,
pp. 205-225
Persistent link: https://www.econbiz.de/10003748108
Saved in:
8
Options and volatility
Abken, Peter A.
- In:
Economic review
81
(
1996
)
3
,
pp. 21-35
Persistent link: https://www.econbiz.de/10001210853
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9
The risks and rewards of selling volatility
Nandi, Saikat
;
Waggoner, Daniel
- In:
Economic review
86
(
2001
)
1
,
pp. 31-39
Persistent link: https://www.econbiz.de/10001581207
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10
A multi-factor Markovian HJM model for pricing : American interest rate derivatives
Kramin, Marat V.
;
Nandi, Saikat
;
Shulman, Alexander L.
- In:
Review of quantitative finance and accounting
31
(
2008
)
4
,
pp. 359-378
Persistent link: https://www.econbiz.de/10003799579
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