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Essays in financial econometrics
Tsiaras, Leonidas - 2010
Persistent link: https://www.econbiz.de/10008697624
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Mean-reversion properties of implied volatilities
Ielpo, Florian; Simon, Guillaume - In: The European journal of finance 16 (2010) 5/6, pp. 587-610
Persistent link: https://www.econbiz.de/10008698544
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Special issue: 2007 and 2008 forecasting financial markets conference
Dunis, Christian (contributor) - 2010
Persistent link: https://www.econbiz.de/10008698602
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for … individual stock options, equity returns, and interest rates. -- Volatility Smile ; Volatility Smirk ; Implied Volatility …
Persistent link: https://www.econbiz.de/10008699179
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Markov-modulated jump : diffusions for currency option pricing
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 461-469
Persistent link: https://www.econbiz.de/10003981142
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A modified tempered stable distribution with volatility clustering
Kim, Young Shin; Račev, Svetlozar T.; Chung, Dong Myung; … - In: New developments in financial modelling, (pp. 344-365). 2008
Persistent link: https://www.econbiz.de/10003981863
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A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
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Moment explosions and stationary distributions in affine diffusion models
Glasserman, Paul; Kim, Kyoung-kuk - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10003955654
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Recovering risk-neutral densities from exchange rate options : evidence in Turkey
Aydin, Halil Ibrahim; Değ̆erli, Ahmet; Özlü, Pınar - 2010
Persistent link: https://www.econbiz.de/10003956043
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Improved implementation of local volatility and its application to S&P 500 Index options
Orosi, Greg - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 53-64
Persistent link: https://www.econbiz.de/10003961021