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On bounding option prices in Paretian stable markets
Popova, Ivilina - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 32-43
Persistent link: https://www.econbiz.de/10001246678
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The impact of short sales constraints on stock index futures prices : evidence from FT-SE 100 futures
Pope, Peter F. - In: The journal of derivatives : the official publication … 1 (1994) 4, pp. 15-26
Persistent link: https://www.econbiz.de/10001219387
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Stein's overreaction puzzle : option anomaly or perfectly rational behavior?
Lehnert, Thorsten; Lin, Yuehao; Martelin, Nicolas - In: The journal of derivatives : the official publication … 23 (2016) 3, pp. 22-35
Persistent link: https://www.econbiz.de/10011687179
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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ELW pricing kernel and empirical risk aversion
Kim, Jun Sik; Kim, Hyeyoen; Ryu, Doojin - In: Applied economics letters 21 (2014) 4/6, pp. 372-376
Persistent link: https://www.econbiz.de/10010413719
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Cross-currency equity swaps in the BGM model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
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Intraday option price changes and net buying pressure
Ryu, Doojin; Yang, Heejin - In: Applied economics letters 29 (2022) 4, pp. 292-297
Persistent link: https://www.econbiz.de/10012803523
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Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio - In: The journal of computational finance 26 (2022) 2, pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
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Evaluating forecasts of correlation using option pricing
Gibson, Michael S.; Boyer, Brian H. - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 18-38
Persistent link: https://www.econbiz.de/10001355577
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Pricing European options on autocorrelated indexes
Jokivuolle, Esa - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 39-52
Persistent link: https://www.econbiz.de/10001355579