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Pricing an American call under stochastic volatility and interest rates
Kang, Boda; Meyer, Gunter H. - In: Nonlinear economic dynamics and financial modelling : …, (pp. 291-314). 2014
Persistent link: https://www.econbiz.de/10011286580
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Do Aussie markets smile? : implied volatility functions and determinants
Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163
Persistent link: https://www.econbiz.de/10011289355
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Deriving option-implied probability densities for foreign exchange markets
Blake, Andrew P.; Rule, Garreth - 2015
Persistent link: https://www.econbiz.de/10011289967
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Why do options prices predict stock returns? : evidence from analyst tipping
Lin, Tse-Chun; Lu, Xiaolong - In: Journal of banking & finance 52 (2015), pp. 17-28
Persistent link: https://www.econbiz.de/10011377291
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Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184
Persistent link: https://www.econbiz.de/10011377526
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
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Jump-diffusion option pricing models : evidence from recent financial upheavals
Singh, Vipul Kumar - In: Studies in economics and finance 32 (2015) 3, pp. 357-378
Persistent link: https://www.econbiz.de/10011380924
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Abnormal returns, risk, and options in large data sets
Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998
Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...
Persistent link: https://www.econbiz.de/10011299966
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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
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Performance of Black-Scholes model with TSRV estimates
Singh, Shivam; Vipul - In: Managerial finance 41 (2015) 8, pp. 857-870
Persistent link: https://www.econbiz.de/10011336586