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Option pricing theory
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1
The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian
;
Liu, Yuguo
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
6
,
pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
Saved in:
2
Integrity of the benchmark price for price testing of US municipal bonds
Devjak, Srečko
- In:
Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis …
38
(
2020
)
1
,
pp. 215-235
Persistent link: https://www.econbiz.de/10012268997
Saved in:
3
Moment risk premia and stock return predictability
Fan, Zhenzhen
;
Xiao, Xiao
;
Zhou, Hao
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
1
,
pp. 67-93
Persistent link: https://www.econbiz.de/10012805776
Saved in:
4
Maturity driven mispricing of options
Eisdorfer, Assaf
;
Sadka, Ronnie
;
Zhdanov, Alexei
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
2
,
pp. 514-542
Persistent link: https://www.econbiz.de/10012805807
Saved in:
5
Does corporate investment respond to the time-varying cost of capital? : empirical evidence
Kim, Yongjin
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
2
,
pp. 629-668
Persistent link: https://www.econbiz.de/10012805831
Saved in:
6
An American call is worth more than a European call : the value of American exercise when the market is not perfectly liquid
Figlewski, Stephen
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
3
,
pp. 1023-1057
Persistent link: https://www.econbiz.de/10013187327
Saved in:
7
Informed trading in the stock market and option-price discovery
Collin-Dufresne, Pierre
;
Fos, Vyacheslav
;
Muravyev, Dmitry
- In:
Journal of financial and quantitative analysis : JFQA
56
(
2021
)
6
,
pp. 1945-1984
Persistent link: https://www.econbiz.de/10012618498
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8
Relationships among US S&P500 stock index, its futures and NASDAQ index futures with volatility spillover and jump diffusion : modeling and hedging performance
Liu, Hsiang-Hsi
;
Lin, Yu-Cheng
- In:
Bulletin of applied economics
8
(
2022
)
1
,
pp. 121-148
Persistent link: https://www.econbiz.de/10013271045
Saved in:
9
A bound on expected stock returns
Kadan, Ohad
;
Tang, Xiaoxiao
- In:
The review of financial studies
33
(
2020
)
4
,
pp. 1565-1617
Persistent link: https://www.econbiz.de/10012198410
Saved in:
10
A complete model for pricing coco bonds
Milanov, Krasimir
;
Kunčev, Ognjan I.
;
Fabozzi, Frank J.
- In:
The journal of fixed income
29
(
2020
)
3
,
pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
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11
The future of unions in the United States
Hamilton, Gayle
;
Masters, Marick F.
- In:
Research in personnel and human resources management : …
38
(
2020
),
pp. 145-179
Persistent link: https://www.econbiz.de/10012598149
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12
The Zumbach effect under rough Heston
El Euch, Omar
;
Gatheral, Jim
;
Radoičić, Radoš
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 235-241
Persistent link: https://www.econbiz.de/10012194863
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13
The functioning of the WTO : options for reform and enhanced performance : policy options paper
Elsig, Manfred
-
Weltwirtschaftsforum
;
International Centre for Trade …
- In:
The E15 Initiative : Strengthening the Global Trade and …
.
2016
Persistent link: https://www.econbiz.de/10011724484
Saved in:
14
Kou jump diffusion model : an application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 index options
Abbasi, Wajih
;
Hájek, Petr
;
Ismailova, Diana
; …
- In:
International journal of economics and financial issues …
6
(
2016
)
4
,
pp. 1918-1929
Persistent link: https://www.econbiz.de/10011775445
Saved in:
15
Jump tail risk premium and predicting US and Japanese credit spreads
Ubukata, Masato
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
1
,
pp. 79-104
Persistent link: https://www.econbiz.de/10012052257
Saved in:
16
CFDs, forwards, futures and the cost-of-carry
Foster, F. Douglas
;
Lee, Adrian D.
;
Liu, Wai-man
- In:
Pacific-Basin finance journal
54
(
2019
),
pp. 183-198
Persistent link: https://www.econbiz.de/10012133649
Saved in:
17
Valuation of contingent Guarantees using least-squares Monte Carlo
Bienek, T.
;
Scherer, Matthias
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
1
,
pp. 31-56
Persistent link: https://www.econbiz.de/10012105338
Saved in:
18
Incorporating price elasticity in financial forecasting models : from theory to practice and implementation
Kendall, Lynn K.
;
Arellano, Fernando
- In:
Journal of education for business
94
(
2019
)
4
,
pp. 217-227
Persistent link: https://www.econbiz.de/10012201216
Saved in:
19
A new predictor of U.S. real economic activity : the S&P 500 option implied risk aversion
Faccini, Renato
;
Konstantinidi, Eirini
;
Skiadopoulos, George
- In:
Management science : journal of the Institute for …
65
(
2019
)
10
,
pp. 4927-4949
Persistent link: https://www.econbiz.de/10012118146
Saved in:
20
The principle of not feeling the boundary for the SABR model
Chen, Nan
;
Yang, Nian
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 427-436
Persistent link: https://www.econbiz.de/10012194662
Saved in:
21
Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
Di Persio, Luca
;
Gugole, Nicola
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 61-83)
.
2018
Persistent link: https://www.econbiz.de/10012011579
Saved in:
22
On the methods of pricing American options : case study
Aydoğan, Burcu
;
Aksoy, Ümit
;
Uğur, Ömür
- In:
Advances of OR in commodities and financial modeling
,
(pp. 79-94)
.
2018
Persistent link: https://www.econbiz.de/10011871341
Saved in:
23
Pricing currency call options
Abraham, Rebecca
- In:
Theoretical economics letters
8
(
2018
)
11
,
pp. 2271-2289
Persistent link: https://www.econbiz.de/10011911640
Saved in:
24
Options and the gamma knife
Martin, Ian
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
6
,
pp. 47-55
Persistent link: https://www.econbiz.de/10011916011
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25
Options and the gamma knife
Martin, Ian
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 71-79
Persistent link: https://www.econbiz.de/10011968668
Saved in:
26
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
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27
Callable convertible bonds in sequential financing : evidence on the Western European market
Olivier, Adoukonou
;
Florence, Andre
;
Jean-Laurent, Viviani
- In:
Journal of multinational financial management
45
(
2018
),
pp. 35-51
Persistent link: https://www.econbiz.de/10012055773
Saved in:
28
Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu
;
Lee, Cheng F.
- In:
Portfolio construction, measurement, and efficiency : …
,
(pp. 355-387)
.
2017
Persistent link: https://www.econbiz.de/10011603288
Saved in:
29
An option valuation framework based on arithmetic Brownian motion : justification and implementation issues
Brooks, Robert
;
Brooks, Joshua A.
- In:
The journal of financial research
40
(
2017
)
3
,
pp. 401-427
Persistent link: https://www.econbiz.de/10011723125
Saved in:
30
Pricing catastrophe equity put options : financial implications of engineering decisions
Aslan, Zafer
;
Damnjanovic, Ivan
;
Mander, John B.
- In:
The engineering economist : a journal devoted to the …
62
(
2017
)
3
,
pp. 254-271
Persistent link: https://www.econbiz.de/10011753915
Saved in:
31
Deflation risk
Fleckenstein, Matthias
;
Longstaff, Francis A.
;
Lustig, Hanno
- In:
The review of financial studies
30
(
2017
)
8
,
pp. 2719-2760
Persistent link: https://www.econbiz.de/10011755601
Saved in:
32
School district bond advance refunding and option value loss
Dzigbede, Komia
- In:
Municipal finance journal : the state and local …
38
(
2017
)
2
,
pp. 39-57
Persistent link: https://www.econbiz.de/10011875685
Saved in:
33
Pathwise superreplication via Vovk's outer measure
Beiglböck, Mathias
;
Cox, Alexander M. G.
;
Huesmann, Martin
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 1141-1166
Persistent link: https://www.econbiz.de/10011944488
Saved in:
34
The role of news-based implied volatility among US financial markets
Su, Zhi
;
Fang, Tong
;
Yin, Libo
- In:
Economics letters
157
(
2017
),
pp. 24-27
Persistent link: https://www.econbiz.de/10011847294
Saved in:
35
A spanning series approach to options
Heston, Steven L.
;
Rossi, Alberto
- In:
Review of asset pricing studies
7
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011734545
Saved in:
36
Blending under uncertainty : real options analysis of ethanol plants and biofuels mandates
Ghoddusi, Hamed
- In:
Energy economics
61
(
2017
),
pp. 110-120
Persistent link: https://www.econbiz.de/10011737684
Saved in:
37
Does option theory hold for major league baseball contracts?
Gross, Alexander
;
Link, Charles R.
- In:
Economic inquiry : journal of the Western Economic …
55
(
2017
)
1
,
pp. 425-433
Persistent link: https://www.econbiz.de/10011738753
Saved in:
38
Advance refundings of municipal bonds
Ang, Andrew
;
Green, Richard C.
;
Longstaff, Francis A.
; …
- In:
The journal of finance : the journal of the American …
72
(
2017
)
4
,
pp. 1645-1682
Persistent link: https://www.econbiz.de/10011738924
Saved in:
39
Options as a marketing tool : pricing a promotional scheme for a product with a scondary market
Afik, Zvika
;
Lowengart, Oded
;
Yosef, Rami
- In:
Managerial and decision economics : MDE ; the …
38
(
2017
)
1
,
pp. 19-36
Persistent link: https://www.econbiz.de/10011649973
Saved in:
40
Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
Deng, Geng
;
Dulaney, Tim
;
McCann, Craig
;
Yan, Mike
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011848304
Saved in:
41
The effect of default and conversion options on bond duration
Horchani, Sana
- In:
The journal of fixed income
25
(
2016
)
3
,
pp. 26-35
Persistent link: https://www.econbiz.de/10011429757
Saved in:
42
Reassessing the ethicality of some common financial practices
Bagus, Philipp
;
Gabriel, Amadeus
;
Howden, David
- In:
Journal of business ethics : JOBE
136
(
2016
)
3
,
pp. 471-480
Persistent link: https://www.econbiz.de/10011521596
Saved in:
43
Applications of central limit theorems for equity-linked insurance
Feng, Runhuan
;
Shimizu, Yasutaka
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 138-148
Persistent link: https://www.econbiz.de/10011530942
Saved in:
44
The fear of rare economic disasters reflected in option prices
Dumitrescu, Ioana
;
Ivanova, Vesela
- In:
Essays on general equilibrium models with alternative …
,
(pp. 85-124)
.
2016
Persistent link: https://www.econbiz.de/10011647015
Saved in:
45
Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions
Jin, Xing
;
Yang, Cheng-Yu
- In:
International review of financial analysis
44
(
2016
),
pp. 65-77
Persistent link: https://www.econbiz.de/10011623807
Saved in:
46
Don't waste a free lunch : managing the advance refunding option
Kalotay, Andrew J.
;
Raineri, Lori
- In:
Journal of applied corporate finance : JACF
28
(
2016
)
4
,
pp. 118-123
Persistent link: https://www.econbiz.de/10011661476
Saved in:
47
Option pricing under skewness and kurtois using a Cornish-Fisher expansion
Aboura, Sofiane
;
Maillard, Didier
- In:
The journal of futures markets
36
(
2016
)
12
,
pp. 1194-1209
Persistent link: https://www.econbiz.de/10011665615
Saved in:
48
Quantitative finance for agricultural commodities : discussion and extension
Power, Gabriel J.
- In:
Agricultural finance review
76
(
2016
)
1
,
pp. 27-41
Persistent link: https://www.econbiz.de/10011695493
Saved in:
49
Service with a smile : does the type of smile matter?
Andrzejewski, Susan A.
;
Mooney, Emily C.
- In:
Journal of retailing and consumer services
29
(
2016
),
pp. 135-141
Persistent link: https://www.econbiz.de/10011442368
Saved in:
50
Real options : an alternative valuation model for the U.S. REIT market
Dubreuille, Stephane
;
Cherif, Mondher
;
Bellalah, Mondher
- In:
International journal of business
21
(
2016
)
1
,
pp. 42-54
Persistent link: https://www.econbiz.de/10011457839
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