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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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Volatility patterns : theory and some evidence from the dollar-mark option market
Gesser, Vincent - In: The journal of derivatives : the official publication … 5 (1997) 2, pp. 46-61
Persistent link: https://www.econbiz.de/10001232635
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The term structure of equity risk : an empirical analysis
Dravid, Ajay R. - In: The journal of derivatives : the official publication … 3 (1996) 4, pp. 48-63
Persistent link: https://www.econbiz.de/10001202804
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Implied trinomial trees of the volatility smile
Derman, Emanuel - In: The journal of derivatives : the official publication … 3 (1996) 4, pp. 7-22
Persistent link: https://www.econbiz.de/10001202805
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Binomial option pricing under stochastic volatility and correlated state variables
Hilliard, Jimmy E. - In: The journal of derivatives : the official publication … 4 (1996) 1, pp. 23-39
Persistent link: https://www.econbiz.de/10001207627
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The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Ritchken, Peter H. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 25-41
Persistent link: https://www.econbiz.de/10001219431
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Vega-informed trading and options market reform
Ryu, Doojin; Ryu, Doowon; Yang, Heejin - In: Applied economics letters 27 (2020) 1, pp. 19-24
Persistent link: https://www.econbiz.de/10012205363
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On pricing Asian options under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
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Option pricing via QUAD : from Black-Scholes-Merton to Heston with jumps
Su, Haozhe; Chen, Ding; Newton, David P. - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10011687339
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Model-based versus model-free implied volatility : evidence from North American, European, and Asian index option markets
Biktimirov, Ernest N.; Wang, Chunrong - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 42-68
Persistent link: https://www.econbiz.de/10011687342