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The journal of futures markets
European journal of operational research : EJOR
644
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324
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219
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196
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ECONIS (ZBW)
55
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1
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
Saved in:
2
Calibration in the "real world" of a partially specified stochastic volatility model
Fatone, Lorella
;
Mariani, Francesca
;
Zirilli, Francesco
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
Saved in:
3
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
4
Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal
;
Herold, Michael
;
Muck, Matthias
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
Saved in:
5
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
6
A model-free approximation for barrier options in a general stochastic volatility framework
Rolloos, Frido
;
Shiraya, Kenichiro
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 923-935
Persistent link: https://www.econbiz.de/10014536706
Saved in:
7
Revisiting the puzzle of jumps in volatility forecasting : the new insights of high-frequency jump intensity
Qu, Hui
;
Wang, Tianyang
;
Shangguan, Peng
;
He, Mengying
- In:
The journal of futures markets
44
(
2024
)
2
,
pp. 218-251
Persistent link: https://www.econbiz.de/10014475461
Saved in:
8
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:
9
Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
Saved in:
10
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
11
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:
12
Piecewise linear double barrier options
Lee, Hangsuck
;
Ha, Hongjun
;
Lee, Minha
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 125-151
Persistent link: https://www.econbiz.de/10012796299
Saved in:
13
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
14
Power-type derivatives for rough volatility with jumps
Wang, Liang
;
Xia, Weixuan
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1369-1406
Persistent link: https://www.econbiz.de/10013287974
Saved in:
15
Multi-step reflection principle and barrier options
Lee, Hangsuck
;
Lee, Gaeun
;
Song, Seongjoo
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 692-721
Persistent link: https://www.econbiz.de/10013187581
Saved in:
16
Pricing vulnerable options under correlated skew Brownian motions
Guo, Che
;
Wang, Xingchun
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 852-867
Persistent link: https://www.econbiz.de/10013187607
Saved in:
17
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:
18
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:
19
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:
20
Comment: "On approximating deep in-the-money Asian options under exponential Lévy Processes"
Sun, Xianming
;
Haesen, Dorien
;
Vanmaele, Michèle
- In:
The journal of futures markets
35
(
2015
)
12
,
pp. 1220-1221
Persistent link: https://www.econbiz.de/10011546256
Saved in:
21
A convenience yield approximation model for mean-reverting commodities
Dockner, Engelbert J.
;
Eksi, Zehra
;
Rammerstorfer, …
- In:
The journal of futures markets
35
(
2015
)
7
,
pp. 625-654
Persistent link: https://www.econbiz.de/10011405460
Saved in:
22
A filtering process to remove the stochastic component from intraday seasonal volatility
Cho, Jang Hyung
;
Daigler, Robert T.
- In:
The journal of futures markets
34
(
2014
)
5
,
pp. 479-495
Persistent link: https://www.econbiz.de/10010370879
Saved in:
23
Pricing multiasset cross-currency options
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
Saved in:
24
Pricing forward skew dependent derivatives : multifactor versus single-factor stochastic volatility models
Marabel Romo, Jacinto
- In:
The journal of futures markets
34
(
2014
)
2
,
pp. 124-144
Persistent link: https://www.econbiz.de/10010255495
Saved in:
25
Multiscale stochastic volatility with the Hull-White rate of interest
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
;
Yu, Seok-Hyon
- In:
The journal of futures markets
34
(
2014
)
9
,
pp. 819-837
Persistent link: https://www.econbiz.de/10010507934
Saved in:
26
A stochastic dynamic program for valuing options on futures
Ayadi, Mohamed A.
;
Ben-Ameur, Hatem
;
Kirillov, Tymur
; …
- In:
The journal of futures markets
34
(
2014
)
12
,
pp. 1185-1201
Persistent link: https://www.econbiz.de/10010508671
Saved in:
27
Stochastic skew in the interest rate cap market
Leung, Kwai S.
;
Ng, Hon Y.
;
Wong, Hoi Ying
- In:
The journal of futures markets
34
(
2014
)
12
,
pp. 1146-1169
Persistent link: https://www.econbiz.de/10010508673
Saved in:
28
The pattern of price linkages among commodities
Dorfman, Jeffrey H.
;
Karali, Berna
- In:
The journal of futures markets
34
(
2014
)
11
,
pp. 1062-1076
Persistent link: https://www.econbiz.de/10010508679
Saved in:
29
Valuing stock options when prices are subject to a lower boundary : a correction
Hertrich, Markus
;
Veestraeten, Dirk
- In:
The journal of futures markets
33
(
2013
)
9
,
pp. 889-890
Persistent link: https://www.econbiz.de/10009779058
Saved in:
30
Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates
Guo, Jia-hau
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 340-370
Persistent link: https://www.econbiz.de/10008908378
Saved in:
31
Pricing real options under the constant elasticity of variance diffusion
Dias, José Carlos
;
Nunes, Joaõ Pedro Vidal
- In:
The journal of futures markets
31
(
2011
)
3
,
pp. 230-250
Persistent link: https://www.econbiz.de/10008908403
Saved in:
32
Pricing basket and Asian options under the jump-diffusion process
Bae, Kwangil
;
Kang, Jangkoo
;
Kim, Hwa-sung
- In:
The journal of futures markets
31
(
2011
)
9
,
pp. 830-854
Persistent link: https://www.econbiz.de/10009355795
Saved in:
33
Numerical pricing of American options under infinite activity Lévy processes
Rambeerich, Nisha
;
Tangman, Désiré Yannick
;
Bhuruth, …
- In:
The journal of futures markets
31
(
2011
)
9
,
pp. 809-829
Persistent link: https://www.econbiz.de/10009355804
Saved in:
34
Currency option pricing : mean reversion and multi-scale stochastic volatility
Wong, Hoi Ying
;
Zhao, Jing
- In:
The journal of futures markets
30
(
2010
)
10
,
pp. 938-956
Persistent link: https://www.econbiz.de/10008900932
Saved in:
35
An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems
Fatone, Lorella
;
Mariani, Francesca
;
Recchioni, Maria …
- In:
The journal of futures markets
29
(
2009
)
9
,
pp. 862-893
Persistent link: https://www.econbiz.de/10003900928
Saved in:
36
Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross-currency Levy processes
Liao, Szu-Lang
;
Hsu, Pao-Peng
- In:
The journal of futures markets
29
(
2009
)
10
,
pp. 973-998
Persistent link: https://www.econbiz.de/10003900954
Saved in:
37
A multicommodity model of futures prices : using futures prices of one commodity to estimate the stochastic process of another
Cortazar, Gonzalo
;
Milla, Carlos
;
Severino, Felipe
- In:
The journal of futures markets
28
(
2008
)
6
,
pp. 537-560
Persistent link: https://www.econbiz.de/10003715005
Saved in:
38
Valuing stock options when prices are subject to a lower boundary
Veestraeten, Dirk
- In:
The journal of futures markets
28
(
2008
)
3
,
pp. 231-247
Persistent link: https://www.econbiz.de/10003699316
Saved in:
39
A generalization of Rubinstein's "pay now, choose later"
Guo, Jia-hau
;
Hung, Mao-Wei
- In:
The journal of futures markets
28
(
2008
)
5
,
pp. 488-515
Persistent link: https://www.econbiz.de/10003699777
Saved in:
40
The pricing of foreign currency options under jump-diffusion processes
Ahn, Chang-mo
;
Cho, D. C.
;
Park, Keehwan
- In:
The journal of futures markets
27
(
2007
)
7
,
pp. 669-695
Persistent link: https://www.econbiz.de/10003493149
Saved in:
41
Approximate basket option valuation for a simplified jump process
Flamouris, Dimitris
;
Giamouridis, Daniel
- In:
The journal of futures markets
27
(
2007
)
9
,
pp. 819-837
Persistent link: https://www.econbiz.de/10003518518
Saved in:
42
Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates
Guo, Jia-hau
;
Hung, Mao-Wei
- In:
The journal of futures markets
27
(
2007
)
9
,
pp. 867-891
Persistent link: https://www.econbiz.de/10003518525
Saved in:
43
Is there information in the volatility skew?
Doran, James S.
;
Peterson, David R.
;
Tarrant, Brian C.
- In:
The journal of futures markets
27
(
2007
)
10
,
pp. 921-959
Persistent link: https://www.econbiz.de/10003531001
Saved in:
44
Pricing VIX futures : evidence from integrated physical and risk-neutral probability measures
Lin, Yueh-neng
- In:
The journal of futures markets
27
(
2007
)
12
,
pp. 1175-1217
Persistent link: https://www.econbiz.de/10003627193
Saved in:
45
A contango-constrained model for storable commodity prices
Ribeiro, Diana R.
;
Hodges, Stewart D.
- In:
The journal of futures markets
25
(
2005
)
11
,
pp. 1025-1044
Persistent link: https://www.econbiz.de/10003222719
Saved in:
46
Canonical valuation of options in the presence of stochastic volatility
Gray, Philip K.
;
Newman, Scott
- In:
The journal of futures markets
25
(
2005
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10002528167
Saved in:
47
Valuing credit derivatives using Gaussian quadrature : a stochastic volatility framework
Tahani, Nabil
- In:
The journal of futures markets
24
(
2004
)
1
,
pp. 3-35
Persistent link: https://www.econbiz.de/10001850811
Saved in:
48
Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging
Chang, Carolyn C. W.
;
Chang, Jack S. K.
- In:
The journal of futures markets
23
(
2003
)
12
,
pp. 1209-1237
Persistent link: https://www.econbiz.de/10001828531
Saved in:
49
Stochastic volatility and the mean reverting process
Sabanis, Sotirios
- In:
The journal of futures markets
23
(
2003
)
1
,
pp. 33-47
Persistent link: https://www.econbiz.de/10001745957
Saved in:
50
Stock index futures markets : stochastic volatility models and smiles
Tompkins, Robert G.
- In:
The journal of futures markets
21
(
2001
)
1
,
pp. 43-78
Persistent link: https://www.econbiz.de/10001537233
Saved in:
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