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Extracting market views from the price of options on futures
Martinez, Gregory M. - In: The journal of futures markets 18 (1998) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001234362
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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The skew risk premium in the equity index market
Kozhan, Roman; Neuberger, Anthony; Schneider, Paul - In: The review of financial studies 26 (2013) 9, pp. 2174-2203
Persistent link: https://www.econbiz.de/10010207278
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Stock index volatility expectations implied by call options premia
Rindell, Krister - 1989
Persistent link: https://www.econbiz.de/10000126342
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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Modeling high dimensional time series for factors driving volatility strings
Mungo, Julius - 2009
Persistent link: https://www.econbiz.de/10003835521
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Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G. - In: Finance and stochastics 15 (2011) 2, pp. 191-219
Persistent link: https://www.econbiz.de/10009159127
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A diffusion approximation for the riskless profit under selling of discrete time call options
Nagaev, Sergei A. - 2003
A discrete time model of a financial market is considered. We focus on the study of a guaranteed profit of an investor which arises when the stock price jumps are bounded. The limit distribution of the profit as the model becomes closer to the classical model of the geometric Brownian motion is...
Persistent link: https://www.econbiz.de/10009726804
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A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …
Persistent link: https://www.econbiz.de/10009728974
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On some classes of continuous time series models and their use in financial economics
Surulescu, Nicolae Mircea - 2010
Persistent link: https://www.econbiz.de/10008935502