Search Results - subject:"option pricing theory"

Modeling price and variance jump clustering using the marked Hawkes process

Chen, Jian; Clements, Michael P.; Urquhart, Andrew - In: Journal of financial econometrics 22 (2024) 3, pp. 743-772

Persistent link: https://www.econbiz.de/10015045178

Contingent claims and hedging of credit risk with equity options

Avino, Davide E.; Salvador, Enrique - In: Review of asset pricing studies : RAPS 14 (2024) 2, pp. 310-348

Persistent link: https://www.econbiz.de/10015046144

Renewable energy investment under stochastic interest rate with regime-switching volatility

Detemple, Jérôme B.; Kitapbayev, Yerkin; Reppen, A. Max - In: Energy economics 136 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015046931

Assessing the resilience of Islamic stocks in BRIC countries : analyzing coherence and cointegration with S&P 500 options implied volatility smirk during the global financial crisis

Hoque, Ariful; Bhuiyan, Tanvir; Le, Thi - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-33

Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the...

Persistent link: https://www.econbiz.de/10015100966

The valuation of a dynamic litigation process : the lawsuit as a (real) option on an option

Grenadier, Brian; Grenadier, Steven R. - 2024

Persistent link: https://www.econbiz.de/10015101019

Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015101647

Learning the random variables in Monte Carlo simulations with stochastic gradient descent : machine learning for parametric PDEs and financial derivative pricing

Becker, Sebastian; Jentzen, Arnulf; Müller, Marvin S.; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 90-150

Persistent link: https://www.econbiz.de/10014471160

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189

Persistent link: https://www.econbiz.de/10014471210

Does market efficiency matter for Shanghai 50 ETF index options?

Hoque, Ariful; Le, Thi; Hasan, Morshadul; Abedin, … - In: Research in international business and finance 67 (2024) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10014451551

The impact of global energy price volatility on oil derivative and local price in Jordan : using DCC-GARCH model

Adailah, Radi Mohammad; Al-Damour, Saba Bassam; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 336-348

Persistent link: https://www.econbiz.de/10014486378