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Spanning tests for options using principal components methods

Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746

Persistent link: https://www.econbiz.de/10003491227

Hedging performance of the Libor market model : the cap market case

Attaoui, Sami - In: Applied financial economics 21 (2011) 16/18, pp. 1215-1223

Persistent link: https://www.econbiz.de/10009348308

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Sáez, Marc - In: Applied financial economics 7 (1997) 4, pp. 379-394

Persistent link: https://www.econbiz.de/10001226979

Empirical performance of affine option pricing models : evidence from the Australian index options market

Sharp, Timothy; Li, Steven; Allen, David E. - In: Applied financial economics 20 (2010) 4/6, pp. 501-514

2001 and December 2006. In particular, Stochastic Volatility (SV) and jumps in both price and volatility are considered … volatility, while put options are best modelled with a process that allows SV and jumps in price (but not in volatility). Under …

Persistent link: https://www.econbiz.de/10003963448

Pricing futures options with basis risk : evidence from S&P 500 futures options

Wang, Chou-wen; Wu, Ting-yi - In: Applied financial economics 18 (2008) 18/21, pp. 1561-1567

Persistent link: https://www.econbiz.de/10003799965

Pricing generalized capped exchange options

Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 7/9, pp. 765-776

Persistent link: https://www.econbiz.de/10003739384

Pricing Taiwan option market with GARCH and stochastic volatility

Huang, Hung-hsi; Wang, Ching-ping; Chen, Shiau-hung - In: Applied financial economics 21 (2011) 10/12, pp. 747-754

Persistent link: https://www.econbiz.de/10009231596

Implied volatility smiles in the Nikkei 225 options

Fukuta, Yuichi; Wenjie Ma - In: Applied financial economics 23 (2013) 7/9, pp. 789-804

Persistent link: https://www.econbiz.de/10009750979

Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach

Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862

Persistent link: https://www.econbiz.de/10009625006

Hedging with weather derivatives : a role for options in reducing basis risk

Manfredo, Mark R.; Richards, Timothy J. - In: Applied financial economics 19 (2009) 1/3, pp. 87-97

specific hedging role for options. The results suggest that weather derivative instruments with nonlinear pay-offs, such as …

Persistent link: https://www.econbiz.de/10003825820