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A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo; Joshi, Mark - In: International journal of theoretical and applied finance 5 (2002) 7, pp. 667-694
Persistent link: https://www.econbiz.de/10001743233
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Switching asymmetric GARCH and options on a volatility index
Daouk, Hazem; Guo, Jie Qun - In: The journal of futures markets 24 (2004) 3, pp. 251-282
Persistent link: https://www.econbiz.de/10001968654
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Pricing American options with stochastic volatility : evidence from S&P 500 futures options
Lim, Kian-Guan; Guo, Xiaoqiang - In: The journal of futures markets 20 (2000) 7, pp. 625-659
Persistent link: https://www.econbiz.de/10001523740
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An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378
Persistent link: https://www.econbiz.de/10001242646
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Jump processes in commodity futures prices and options pricing
Hilliard, Jimmy E.; Reis, Jorge - In: American journal of agricultural economics 81 (1999) 2, pp. 273-286
Persistent link: https://www.econbiz.de/10001387252
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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017
Persistent link: https://www.econbiz.de/10011603288
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A spanning series approach to options
Heston, Steven L.; Rossi, Alberto - In: Review of asset pricing studies 7 (2017) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10011734545
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Estimating expectations of shocks using option prices
Di Cesare, Antonio - 2004
Persistent link: https://www.econbiz.de/10013439376
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The impact of exchange rate volatility on labor markets : Europe versus United States
Belke, Ansgar; Kaas, Leo - 2002
Persistent link: https://www.econbiz.de/10013401245
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Arbitragefreie Bewertung von Zinsderivaten
Heitmann, Frank - 1997
Persistent link: https://www.econbiz.de/10000959293