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Journal of economic dynamics & control
Journal of financial and quantitative analysis : JFQA
International journal of theoretical and applied finance
467
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253
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ECONIS (ZBW)
188
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1
What can volatility smiles tell us about the too big to fail problem?
Ngo, Phong T. H.
;
Puente-Moncayo, Diego L.
- In:
Journal of financial and quantitative analysis : JFQA
59
(
2024
)
2
,
pp. 863-895
Persistent link: https://www.econbiz.de/10014520129
Saved in:
2
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:
3
Counter-cyclical margins for option portfolios
Chen, Yuanyuan
;
Wu, Qi
;
Li, Duan
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014478163
Saved in:
4
Systemic risk of optioned portfolio : controllability and optimization
Pang, Xiaochuan
;
Zhu, Shushang
;
Cui, Xueting
;
Ma, Jiali
- In:
Journal of economic dynamics & control
153
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014479336
Saved in:
5
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:
6
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:
7
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:
8
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
9
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:
10
Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications
Shi, Chao
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013542969
Saved in:
11
The stock implied volatility and the implied dividend volatility
Quaye, Enoch Nii Boi
;
Tunaru, Radu
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013383766
Saved in:
12
Media-expressed tone, option characteristics, and stock return predictability
Chen, Yi-Hsuan
;
Fengler, Matthias
;
Härdle, Wolfgang
; …
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013384809
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13
New insights in capacity investment under uncertainty
Balter, Anne G.
;
Huisman, Kuno J. M.
;
Kort, Peter M.
- In:
Journal of economic dynamics & control
144
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013543151
Saved in:
14
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
15
Investing in electricity production under a reliability options scheme
Fontini, Fulvio
;
Vargiolu, Tiziano
;
Zormpas, Dimitrios
- In:
Journal of economic dynamics & control
126
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012667919
Saved in:
16
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
17
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Choi, Jaehyuk
;
Wu, Lixin
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628256
Saved in:
18
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
19
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
Saved in:
20
Valuing switching options with the moving-boundary method
Dabadghao, Shaunak S.
;
Chockalingam, Arun
;
Soltani, Taimaz
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012668925
Saved in:
21
A tractable framework for option pricing with dynamic market maker inventory and wealth
Fournier, Mathieu
;
Jacobs, Kris
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
4
,
pp. 1117-1162
Persistent link: https://www.econbiz.de/10012244210
Saved in:
22
Volatility and expected option returns
Hu, Guanglian
;
Jacobs, Kris
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
3
,
pp. 1025-1060
Persistent link: https://www.econbiz.de/10012195631
Saved in:
23
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
24
Valuation of mortgage interest deductibility under uncertainty : an option pricing approach
Ghoddusi, Hamed
;
Afkhami, Mohamad
- In:
Journal of economic dynamics & control
103
(
2019
),
pp. 102-122
Persistent link: https://www.econbiz.de/10012131078
Saved in:
25
A profitable modification to global quadratic hedging
Augustyniak, Maciej
;
Godin, Frédéric
;
Simard, Clarence
- In:
Journal of economic dynamics & control
104
(
2019
),
pp. 111-131
Persistent link: https://www.econbiz.de/10012131108
Saved in:
26
Good volatility, bad volatility, and option pricing
Feunou, Bruno
;
Okou, Cédric
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
2
,
pp. 695-727
Persistent link: https://www.econbiz.de/10012138931
Saved in:
27
Estimation of multivariate asset models with jumps
Ballotta, Laura
;
Fusai, Gianluca
;
Loregian, Angela
; …
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
Saved in:
28
Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu
;
Ye, Yongxin
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
Saved in:
29
Functional Ross recovery : theoretical results and empirical tests
Dillschneider, Yannick
;
Maurer, Raimond
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012313623
Saved in:
30
Event-related exchange-rate forecasts combining information from betting quotes and option prices
Hanke, Michael
;
Poulsen, Rolf
;
Weissensteiner, Alex
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
6
,
pp. 2663-2683
Persistent link: https://www.econbiz.de/10012128877
Saved in:
31
Stochastic volatility implies fourth-degree risk dominance : applications to asset pricing
Gollier, Christian
- In:
Journal of economic dynamics & control
95
(
2018
),
pp. 155-171
Persistent link: https://www.econbiz.de/10012004921
Saved in:
32
Level and slope of volatility smiles in long-run risk models
Branger, Nicole
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 95-122
Persistent link: https://www.econbiz.de/10011973857
Saved in:
33
Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
Saved in:
34
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan
;
Li, Danping
;
Chen, Zheng
;
Yang, Zhou
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 70-103
Persistent link: https://www.econbiz.de/10011973926
Saved in:
35
Pricing and hedging GDP-linked bonds in incomplete markets
Consiglio, Andrea
;
Zenios, Stauros Andrea
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 137-155
Persistent link: https://www.econbiz.de/10011973933
Saved in:
36
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
37
Hysteresis due to irreversible exit : addressing the option to mothball
Guerra, Manuel
;
Kort, Peter M.
;
Nunes, Cláudia
; …
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 69-83
Persistent link: https://www.econbiz.de/10011974233
Saved in:
38
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
Saved in:
39
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
40
Real options and contingent convertibles with regime switching
Luo, Pengfei
;
Yang, Zhaojun
- In:
Journal of economic dynamics & control
75
(
2017
),
pp. 122-135
Persistent link: https://www.econbiz.de/10011817155
Saved in:
41
Equal risk pricing under convex trading constraints
Guo, Ivan
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
76
(
2017
),
pp. 136-151
Persistent link: https://www.econbiz.de/10011817212
Saved in:
42
Learning and forecasts about option returns through the volatility risk premium
Bernales, Alejandro
;
Chen, Louisa
;
Valenzuela, Marcela
- In:
Journal of economic dynamics & control
82
(
2017
),
pp. 312-330
Persistent link: https://www.econbiz.de/10011915574
Saved in:
43
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun
;
Tang, Dan
;
Wang, Yongjin
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
Saved in:
44
Approximate arbitrage-free option pricing under the SABR model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
Saved in:
45
Optimal portfolios when variances and covariances can jump
Branger, Nicole
;
Muck, Matthias
;
Seifried, Frank Thomas
; …
- In:
Journal of economic dynamics & control
85
(
2017
),
pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
Saved in:
46
Equity volatility term structures and the cross section of option returns
Vasquez, Aurelio
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
6
,
pp. 2727-2754
Persistent link: https://www.econbiz.de/10011929375
Saved in:
47
Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
Saved in:
48
Option valuation with macro-finance variables
Dorion, Christian
- In:
Journal of financial and quantitative analysis : JFQA
51
(
2016
)
4
,
pp. 1359-1389
Persistent link: https://www.econbiz.de/10011610439
Saved in:
49
An options pricing approach to ramping rate restrictions at hydro power plants
Niu, Shilei
;
Insley, Margaret
- In:
Journal of economic dynamics & control
63
(
2016
),
pp. 25-52
Persistent link: https://www.econbiz.de/10011708181
Saved in:
50
Calibration of stochastic volatility models : a Tikhonov regularization approach
Dai, Min
;
Tang, Ling
;
Yue, Xingye
- In:
Journal of economic dynamics & control
64
(
2016
),
pp. 66-81
Persistent link: https://www.econbiz.de/10011708221
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