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Application of a stochastic price modeling method to energy commodities and their derivative contracts
Lin, Tao - 2007
Persistent link: https://www.econbiz.de/10003724298
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The effects of asymmetries and regime switching on optimal futures hedging
Lee, Hsiang-Tai - In: Applied financial economics letters 4 (2008) 1/3, pp. 133-136
Persistent link: https://www.econbiz.de/10003725345
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Maturity cycles in implied volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; … - In: Finance and stochastics 8 (2004) 4, pp. 451-477
Persistent link: https://www.econbiz.de/10002261414
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Stochastic volatility and the pricing of financial derivatives
Ploeg, Antoine P. C. van der - 2006
Persistent link: https://www.econbiz.de/10003273906
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Position limits for cash-settled derivative contracts
Dutt, Hans R.; Harris, Lawrence E. - In: The journal of futures markets 25 (2005) 10, pp. 945-965
Persistent link: https://www.econbiz.de/10003185585
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The analysis of value and volatility in financial futures
Leibowitz, Martin L. - 1982
Persistent link: https://www.econbiz.de/10002366743
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When are static superhedging strategies optimal?
Branger, Nicole (contributor); Esser, Angelika (contributor) - 2004
kind of the non-traded risk factors. Our main findings for a stochastic volatility model with unbounded volatility show …
Persistent link: https://www.econbiz.de/10002462819
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On the pricing and hedging of volatility derivatives
Howison, Sam; Rafailidis, Avraam; Rasmussen, Henrik - In: Applied mathematical finance 11 (2004) 4, pp. 317-346
Persistent link: https://www.econbiz.de/10002458545
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The effects of decision making on futures price volatility
Hennessy, David A. - In: American journal of agricultural economics 78 (1996) 3, pp. 591-603
Persistent link: https://www.econbiz.de/10001210751
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Does the open limit order book matter in explaining long run volatility?
Pascual, Roberto (contributor); Veredas, David (contributor) - 2006
Persistent link: https://www.econbiz.de/10003402411