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Spanning tests for options using principal components methods

Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746

Persistent link: https://www.econbiz.de/10003491227

Pricing futures options with basis risk : evidence from S&P 500 futures options

Wang, Chou-wen; Wu, Ting-yi - In: Applied financial economics 18 (2008) 18/21, pp. 1561-1567

Persistent link: https://www.econbiz.de/10003799965

Empirical performance of affine option pricing models : evidence from the Australian index options market

Sharp, Timothy; Li, Steven; Allen, David E. - In: Applied financial economics 20 (2010) 4/6, pp. 501-514

2001 and December 2006. In particular, Stochastic Volatility (SV) and jumps in both price and volatility are considered … volatility, while put options are best modelled with a process that allows SV and jumps in price (but not in volatility). Under …

Persistent link: https://www.econbiz.de/10003963448

Implied volatility smiles in the Nikkei 225 options

Fukuta, Yuichi; Wenjie Ma - In: Applied financial economics 23 (2013) 7/9, pp. 789-804

Persistent link: https://www.econbiz.de/10009750979

Calibrated GARCH models and exotic options

Kanniainen, Juho; Halme, Tero - In: Applied financial economics 23 (2013) 4/6, pp. 403-414

Persistent link: https://www.econbiz.de/10009718911

On the pricing of GDP-linked financial products

Kruse, Susanne; Meitner, Matthias; Schröder, Michael - In: Applied financial economics 15 (2005) 16, pp. 1125-1133

Persistent link: https://www.econbiz.de/10003213491

Hedging with weather derivatives : a role for options in reducing basis risk

Manfredo, Mark R.; Richards, Timothy J. - In: Applied financial economics 19 (2009) 1/3, pp. 87-97

specific hedging role for options. The results suggest that weather derivative instruments with nonlinear pay-offs, such as …

Persistent link: https://www.econbiz.de/10003825820

Are liquidity costs higher in options markets or in futures markets?

Shah, Samarth; Brorsen, B. Wade - In: Applied financial economics 23 (2013) 7/9, pp. 701-708

Persistent link: https://www.econbiz.de/10009750634

An examination of the Oslo Stock Exchange options market

Berg, Egil - In: Applied financial economics 6 (1996) 2, pp. 103-113

Persistent link: https://www.econbiz.de/10001198681

Pricing gold options under Markov-modulated jump-diffusion processes

Lin, Shih-kuei; Lian, Yu-Min; Liao, Szu-Lang - In: Applied financial economics 24 (2014) 10/12, pp. 825-836

Persistent link: https://www.econbiz.de/10010402550