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On the implied volatility layers under the future risk-free rate uncertainty
Hin, Lin-yee; Dokučaev, Nikolaj G. - In: International journal of financial markets and derivatives 3 (2014) 4, pp. 392-408
Persistent link: https://www.econbiz.de/10010406861
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Forward trading and collusion of firms in volatile markets
Aichele, Markus - 2014
Commodity markets are characterized by large volumes of forward contracts as well as high volatility. They are often …, forward trading and volatility simultaneously. The expected collusive pro t may depart from the monopoly outcome in a volatile …
Persistent link: https://www.econbiz.de/10010426239
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The impact of derivatives hedging on the stock market : evidence from Taiwan's covered warrants market
Chung, San-lin; Liu, Wen-rang; Tsai, Wei-che - In: Journal of banking & finance 42 (2014), pp. 123-133
Persistent link: https://www.econbiz.de/10010408417
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The shape of option implied volatility : a study based on market net demand pressure
Mo, Tianyu; Zheng, Zhenlong; Lin, William - In: China finance review international 2 (2012) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10009703233
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What's Vol got to do with it
Drechsler, Itamar; Yaron, Amir - In: The review of financial studies 24 (2011) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10008909458
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On some classes of continuous time series models and their use in financial economics
Surulescu, Nicolae Mircea - 2010
Persistent link: https://www.econbiz.de/10008935502
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Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan; Young, Virginia R. - In: Annals of finance 4 (2008) 4, pp. 399-429
Persistent link: https://www.econbiz.de/10003737188
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The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index
Hambly, Ben; Vaicenavicius, Juozas - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10011403929
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Stochastic volatility modeling
Bergomi, Lorenzo - 2016
Persistent link: https://www.econbiz.de/10011413975
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Essays on derivatives pricing and dynamic asset allocation
Trolle, Anders B. - 2007 - 1. ed.
Persistent link: https://www.econbiz.de/10003528507