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Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets
Chung, Huimin; Sheu, Her-jiun; Hsu, Shufang - In: International review of economics & finance : IREF 19 (2010) 4, pp. 742-754
Persistent link: https://www.econbiz.de/10009006975
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Pricing VIX futures : evidence from integrated physical and risk-neutral probability measures
Lin, Yueh-neng - In: The journal of futures markets 27 (2007) 12, pp. 1175-1217
Persistent link: https://www.econbiz.de/10003627193
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A non-parametric option pricing model : theory and empirical evidence
Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 115-134
Persistent link: https://www.econbiz.de/10002851785
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Jump and volatility risk and risk premia : a new model and lessons from S&P 500 options
Santa-Clara, Pedro; Yan, Shu - 2004
Persistent link: https://www.econbiz.de/10002485074
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Specification analysis of option pricing models based on time-changed Lévy processes
Huang, Jing-Zhi; Wu, Liuren - In: The journal of finance : the journal of the American … 59 (2004) 3, pp. 1405-1442
Persistent link: https://www.econbiz.de/10002100164
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Market expectations and probability distributions implicit in option prices
McIntyre, Michael; Nitani, Miwako - In: International business and economics research journal 3 (2004) 10, pp. 17-30
Persistent link: https://www.econbiz.de/10002518130
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A simple nonparametric approach to derivative security valuation
Stutzer, Michael J. - In: The journal of finance : the journal of the American … 51 (1996) 5, pp. 1633-1652
Persistent link: https://www.econbiz.de/10001211779
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Recovering probability distributions from option prices
Jackwerth, Jens Carsten - In: The journal of finance : the journal of the American … 51 (1996) 5, pp. 1611-1631
Persistent link: https://www.econbiz.de/10001211781
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The price of a smile : hedging and spanning in option markets
Buraschi, Andrea (contributor);  … - 1999 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700533
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The lead-lag relation between spot and option markets and implied volatility in option prices
Boyle, Phelim P.; Byoun, Soku; Park, Hun Y. - In: Research in finance 19 (2002), pp. 269-284
Persistent link: https://www.econbiz.de/10001717576