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Journal of financial and quantitative analysis : JFQA
The journal of futures markets
395
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ECONIS (ZBW)
60
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1
Derivatives and market (il)liquidity
Huang, Shiyang
;
Yueshen, Bart Zhou
;
Zhang, Cheng
- In:
Journal of financial and quantitative analysis : JFQA
59
(
2024
)
1
,
pp. 157-194
Persistent link: https://www.econbiz.de/10014486310
Saved in:
2
Options trading and stock price informativeness
Cao, Jie
;
Goyal, Amit
;
Ke, Sai
;
Zhan, Xintong
- In:
Journal of financial and quantitative analysis : JFQA
59
(
2024
)
4
,
pp. 1516-1540
Persistent link: https://www.econbiz.de/10015055417
Saved in:
3
Equilibrium price dynamics of emission permits
Hitzemann, Steffen
;
Uhrig-Homburg, Marliese
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
4
,
pp. 1653-1678
Persistent link: https://www.econbiz.de/10011930520
Saved in:
4
CEO entrenchment and corporate hedging : evidence from the oil and gas industry
Kumar, Praveen
;
Rabinovitch, RamĂłn
- In:
Journal of financial and quantitative analysis : JFQA
48
(
2013
)
3
,
pp. 887-917
Persistent link: https://www.econbiz.de/10010201779
Saved in:
5
Futures cross-hedging with a stationary basis
Ankirchner, Stefan
;
Dimitroff, Georgi
;
Heyne, Gregor
; …
- In:
Journal of financial and quantitative analysis : JFQA
47
(
2012
)
6
,
pp. 1361-1395
Persistent link: https://www.econbiz.de/10009728904
Saved in:
6
Why are derivative warrants more expensive than options? : an empirical study
Li, Gang
;
Zhang, Chu
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
1
,
pp. 275-297
Persistent link: https://www.econbiz.de/10008991250
Saved in:
7
Derivatives use and risk taking : evidence from the hedge fund industry
Chen, Yong
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
4
,
pp. 1073-1106
Persistent link: https://www.econbiz.de/10009516966
Saved in:
8
The effects of derivatives on firm risk and value
Bartram, Söhnke M.
;
Brown, Gregory W.
;
Conrad, Jennifer S.
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
4
,
pp. 967-999
Persistent link: https://www.econbiz.de/10010217642
Saved in:
9
Pricing European and American derivatives under a jump-diffusion process : a bivariate tree aproach
Hilliard, Jimmy E.
;
Schwartz, Adam
- In:
Journal of financial and quantitative analysis : JFQA
40
(
2005
)
3
,
pp. 671-692
Persistent link: https://www.econbiz.de/10003160394
Saved in:
10
Liquidity in the futures pits : inferring market dynamics from incomplete data
Hasbrouck, Joel
- In:
Journal of financial and quantitative analysis : JFQA
39
(
2004
)
2
,
pp. 305-326
Persistent link: https://www.econbiz.de/10002103608
Saved in:
11
Pricing treasury inflation protected securities and related derivatives using an HJM model
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
2
,
pp. 337-356
Persistent link: https://www.econbiz.de/10001766868
Saved in:
12
The valuation of default-triggered credit derivatives
Chen, Ren-Raw
;
Sopranzetti, Ben J.
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
2
,
pp. 359-382
Persistent link: https://www.econbiz.de/10001766873
Saved in:
13
The performance of multi-factor term structure models for pricing and hedging caps and swaptions
Driessen, Joost
;
Klaassen, Pieter
;
Melenberg, Bertrand
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
3
,
pp. 635-672
Persistent link: https://www.econbiz.de/10001794047
Saved in:
14
A multifactor spot rate model for the pricing of interest rate derivatives
Peterson, Sandra
;
Stapleton, Richard C.
;
Subrahmanyam, …
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
4
,
pp. 847-880
Persistent link: https://www.econbiz.de/10001859311
Saved in:
15
Are corporations reducing or taking risks with derivatives?
Hentschel, Ludger
;
Kothari, S. P.
- In:
Journal of financial and quantitative analysis : JFQA
36
(
2001
)
1
,
pp. 93-118
Persistent link: https://www.econbiz.de/10001569203
Saved in:
16
The dynamics of the forward interest rate curve : a formulation with state variables
Jong, Frank de
;
Santa-Clara, Pedro
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
1
,
pp. 131-157
Persistent link: https://www.econbiz.de/10001436356
Saved in:
17
Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities
Jiang, George J.
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
4
,
pp. 465-497
Persistent link: https://www.econbiz.de/10001256376
Saved in:
18
The pricing of multiclass commercial mortgage-backed securities
Childs, Paul D.
- In:
Journal of financial and quantitative analysis : JFQA
31
(
1996
)
4
,
pp. 581-603
Persistent link: https://www.econbiz.de/10001219187
Saved in:
19
Valuation of path-dependent contingent claims with multiple exercise decisions over time : the case of take-or-pay
Thompson, Andrew C.
- In:
Journal of financial and quantitative analysis : JFQA
30
(
1995
)
2
,
pp. 271-293
Persistent link: https://www.econbiz.de/10001218104
Saved in:
20
Derivative security markets, market manipulation, and option pricing theory
Jarrow, Robert A.
- In:
Journal of financial and quantitative analysis : JFQA
29
(
1994
)
2
,
pp. 241-261
Persistent link: https://www.econbiz.de/10001165922
Saved in:
21
A Bayesian approach to modeling stock return volatility for option valuation
Karolyi, G. Andrew
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
4
,
pp. 579-594
Persistent link: https://www.econbiz.de/10001160594
Saved in:
22
Warrant pricing : jump-diffusion vs. Black-Scholes
Kremer, Joseph W.
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
2
,
pp. 255-272
Persistent link: https://www.econbiz.de/10001149610
Saved in:
23
One-factor interest-rate models and the valuation of interest-rate derivative securities
Hull, John
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
2
,
pp. 235-254
Persistent link: https://www.econbiz.de/10001149611
Saved in:
24
Price volatility, trading volume, and market depth : evidence from futures markets
Bessembinder, Hendrik
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
1
,
pp. 21-39
Persistent link: https://www.econbiz.de/10001149612
Saved in:
25
Implied volatilities and transaction costs
Swidler, Steven Mark
- In:
Journal of financial and quantitative analysis : JFQA
27
(
1992
)
3
,
pp. 437-447
Persistent link: https://www.econbiz.de/10001129736
Saved in:
26
The value of early exercise in option prices : an empirical investigation
Zivney, Terry L.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
1
,
pp. 129-138
Persistent link: https://www.econbiz.de/10001102359
Saved in:
27
The accelerated binomial option pricing model
Breen, Richard
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
2
,
pp. 153-164
Persistent link: https://www.econbiz.de/10001106739
Saved in:
28
A quick algorithm for pricing European average options
Turnbull, Stuart M.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
3
,
pp. 377-389
Persistent link: https://www.econbiz.de/10001113530
Saved in:
29
A log-transformed binomial numerical analysis method for valuing complex multi-option investments
Trigeorgis, Lenos
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
3
,
pp. 309-326
Persistent link: https://www.econbiz.de/10001113534
Saved in:
30
On the computation of continuous time option prices using discrete approximations
Amin, Kaushik I.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
4
,
pp. 477-495
Persistent link: https://www.econbiz.de/10001119164
Saved in:
31
Put-call parity and expected returns
Finucane, Thomas J.
- In:
Journal of financial and quantitative analysis : JFQA
26
(
1991
)
4
,
pp. 445-457
Persistent link: https://www.econbiz.de/10001119166
Saved in:
32
The systematic risk of discretely rebalanced option hedges
Gilster, John E.
- In:
Journal of financial and quantitative analysis : JFQA
25
(
1990
)
4
,
pp. 507-516
Persistent link: https://www.econbiz.de/10001098661
Saved in:
33
Valuing derivative securities using the explicit finite difference method
Hull, John
- In:
Journal of financial and quantitative analysis : JFQA
25
(
1990
)
1
,
pp. 87-100
Persistent link: https://www.econbiz.de/10001082512
Saved in:
34
An algorithm for computing values of options on the maximum or minimum of several assets
Boyle, Phelim P.
- In:
Journal of financial and quantitative analysis : JFQA
25
(
1990
)
2
,
pp. 215-227
Persistent link: https://www.econbiz.de/10001089783
Saved in:
35
Black-Scholes approximations of call options prices with stochastic volatilities : a note
Finucane, Thomas J.
- In:
Journal of financial and quantitative analysis : JFQA
24
(
1989
)
4
,
pp. 527-532
Persistent link: https://www.econbiz.de/10001082068
Saved in:
36
Pricing stock and bond options when the default-free rate is stochastic
Rabinovitch, RamĂłn
- In:
Journal of financial and quantitative analysis : JFQA
24
(
1989
)
4
,
pp. 447-457
Persistent link: https://www.econbiz.de/10001082083
Saved in:
37
The distribution of futures prices : a test of the stable Paretian and mixture of normals hypotheses
Hall, Joyce A.
- In:
Journal of financial and quantitative analysis : JFQA
24
(
1989
)
1
,
pp. 105-116
Persistent link: https://www.econbiz.de/10001063196
Saved in:
38
On the call provision in corporate zero-coupon bonds
Narayanan, M. P.
- In:
Journal of financial and quantitative analysis : JFQA
24
(
1989
)
1
,
pp. 91-103
Persistent link: https://www.econbiz.de/10001063198
Saved in:
39
Hedging interest rate risk with futures portfolios under full-rank assumptions
Hilliard, Jimmy E.
- In:
Journal of financial and quantitative analysis : JFQA
24
(
1989
)
2
,
pp. 217-240
Persistent link: https://www.econbiz.de/10001067211
Saved in:
40
A put option paradox
Grinblatt, Mark
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
1
,
pp. 23-26
Persistent link: https://www.econbiz.de/10001047155
Saved in:
41
An empirical examination of the pricing of American put options
Blomeyer, Edward C.
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
1
,
pp. 13-22
Persistent link: https://www.econbiz.de/10001047157
Saved in:
42
A lattice framework for option pricing with two state variables
Boyle, Phelim P.
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10001047159
Saved in:
43
On the estimation of bid-ask spreads : theory and evidence
Choi, Jong-yeon
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
2
,
pp. 219-230
Persistent link: https://www.econbiz.de/10001053420
Saved in:
44
Efficient discrete time jump process models in option pricing
Omberg, Edward
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
2
,
pp. 161-174
Persistent link: https://www.econbiz.de/10001053427
Saved in:
45
Producing derivative assets with forward contracts
Bick, Avi
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
2
,
pp. 153-160
Persistent link: https://www.econbiz.de/10001053429
Saved in:
46
The use of the control variate technique in option pricing
Hull, John
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
3
,
pp. 237-251
Persistent link: https://www.econbiz.de/10001056078
Saved in:
47
Trading frictions and futures price movements
Goldenberg, David Harold
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
4
,
pp. 465-481
Persistent link: https://www.econbiz.de/10001060141
Saved in:
48
Hedging with mispriced futures
Merrick, John J.
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10001060142
Saved in:
49
The early exercise of options on Treasury bond futures
Overdahl, James A.
- In:
Journal of financial and quantitative analysis : JFQA
23
(
1988
)
4
,
pp. 437-449
Persistent link: https://www.econbiz.de/10001060143
Saved in:
50
Price changes of related securities : the case of call options and stocks
Bhattacharya, Mihir
- In:
Journal of financial and quantitative analysis : JFQA
22
(
1987
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10001023056
Saved in:
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