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Price and volume effects associated with listings and expirations of derivative warrants on the stock exchange of Hong Kong
Wei, K. C. John; Chan, Yue-cheong - 1997
Persistent link: https://www.econbiz.de/10000977568
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Local parametric analysis of derivatives pricing and hedging
Bossaerts, Peter L.; Hillion, Pierre Henri - 1997
Persistent link: https://www.econbiz.de/10000980780
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Derivate und Geldpolitik
Issing, Otmar - In: Finanzmärkte, Finanzinnovationen und Geldpolitik : …, (pp. 111-137). 1996
Persistent link: https://www.econbiz.de/10001317667
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Financial globalization, derivatives, volatility, and the challenge for the policies of central banks
Goodhart, Charles A. E.; Crockett, Andrew - In: Monetary policy in an integrated world economy : …, (pp. 61-90). 1996
Persistent link: https://www.econbiz.de/10001318796
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Stochastic volatility
Ghysels, Eric - 1996
Persistent link: https://www.econbiz.de/10001320263
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Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.; Trevor, Robert G. - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 397-408
Persistent link: https://www.econbiz.de/10001412844
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The effect of derivative assets in information acquisition and price behavior in a rational expectations equilibrium
Cao, H. Henry - In: The review of financial studies 12 (1999) 1, pp. 131-163
Persistent link: https://www.econbiz.de/10001353475
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Simultaneity and causality between derivatives trading and spot market volatility in the UK : an empirical investigation
Kyriacou, Kyriacos; Sarno, Lucio - 1998
Persistent link: https://www.econbiz.de/10001586825
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The risk and price volatility of stock options in general equilibrium
Drees, Burkhard - In: The Scandinavian journal of economics 97 (1995) 3, pp. 459-467
Persistent link: https://www.econbiz.de/10001187657
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Cash-Settled Swaptions : How Wrong are We?
Henrard, Marc P. A. - 2011
The pricing of the European cash-settled swaptions is analysed. The standard market formula results are compared to results obtained from different models. Significant discrepancies are observed, justifying the title
Persistent link: https://www.econbiz.de/10013132576