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Implied volatility of leveraged ETF options
Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
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Vorschlag eines Bewertungskonzepts von Zertifikaten
Varmaz, Armin; Fieberg, Christian - In: Kredit und Kapital 45 (2012) 2, pp. 243-266
Persistent link: https://www.econbiz.de/10009580913
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Worst-of options and correlation skew under a stochastic correlation framework
Romo, Jacinto Marabel - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-32
Persistent link: https://www.econbiz.de/10009685884
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Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
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An approach to the option market model based on end-user net demand
Sasaki, Hiroshi - In: The journal of futures markets 35 (2015) 5, pp. 476-503
Persistent link: https://www.econbiz.de/10011405401
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10010465152
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Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; … - In: Mathematics and financial economics 15 (2021) 4, pp. 747-773
Persistent link: https://www.econbiz.de/10012616856