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Modeling volatility of national stock exchange of India

Joshi, Prashant - In: Asian African journal of economics and econometrics 10 (2010) 2, pp. 337-354

Persistent link: https://www.econbiz.de/10009007472

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Penn, Yannick; Sévi, Benoît - In: Resource and energy economics 33 (2011) 4, pp. 855-880

Persistent link: https://www.econbiz.de/10009525598

Stock market momentum, business conditions, and GARCH option pricing models

Chiang, Min-Hsien; Huang, Hsin-yi - In: Journal of empirical finance 18 (2011) 3, pp. 488-505

Persistent link: https://www.econbiz.de/10009302078

American option pricing with discrete and continuous time models : an empirical comparison

Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902

Persistent link: https://www.econbiz.de/10009492526

Option valuation with volatility components, fat tails, and nonlinear pricing kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015

Persistent link: https://www.econbiz.de/10011398641

A GARCH parameterization of the volatility surface

Mazzoni, Thomas - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 9-24

Persistent link: https://www.econbiz.de/10011399795

Pricing currency options with intra-daily implied volatility

Hoque, Ariful; Kalev, Petko S. - In: Australasian accounting business and finance journal : AABF 9 (2014) 1, pp. 43-56

Persistent link: https://www.econbiz.de/10010520230

Effect of return and volatility calculation on option pricing : an analysis using BANKNIFTY

Ahmad, Akhlaque - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 103-110

Persistent link: https://www.econbiz.de/10011420532

Option valuation with observable volatility and jump dynamics

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - 2015

diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …

Persistent link: https://www.econbiz.de/10011377837

Are the KOSPI 200 implied volatilities useful in value-at-risk models?

Kim, Jun Sik; Ryu, Doojin - In: Emerging markets review 22 (2015), pp. 43-64

Persistent link: https://www.econbiz.de/10011304192