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~isPartOf:"The journal of futures markets"
~subject:"stochastic volatility"
~type_genre:"Aufsatz in Zeitschrift"
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stochastic volatility
Stochastic process
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Stochastischer Prozess
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Option pricing theory
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Volatility
29
Volatilität
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Cui, Zhenyu
1
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Dias, José Carlos
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The journal of futures markets
International journal of theoretical and applied finance
24
Applied mathematical finance
15
The journal of computational finance
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
Journal of risk and financial management : JRFM
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Risks : open access journal
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Applied economics
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
2
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
3
A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
4
Pricing VXX options by modeling VIX directly
Lin, Wei
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
Saved in:
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