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Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives
Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285
Persistent link: https://www.econbiz.de/10009667379
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Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses
Kim, Hwa-sung; Kim, Bara; Kim, Jerim - In: Economic modelling 41 (2014), pp. 15-22
Persistent link: https://www.econbiz.de/10010438507
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Stochastic lattice models for valuation of volatility options
Ma, Jingtang; Li, Wenyuan; Han, Xu - In: Economic modelling 47 (2015), pp. 93-104
Persistent link: https://www.econbiz.de/10011438895
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Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio; Lenz, Jimmie - In: Economic modelling 136 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
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Operational risk of option hedging
Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203
Persistent link: https://www.econbiz.de/10010191991
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Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
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Valuing commodity options and futures options with changing economic conditions
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 51 (2015), pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
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An improved framework for approximating option prices with application to option portfolio hedging
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun; … - In: Economic modelling 59 (2016), pp. 285-296
Persistent link: https://www.econbiz.de/10011647843
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Collective behavior and options volatility smile : an agent-based explanation
Liu, Yi-fang; Zhang, Wei; Xu, Hai-chuan - In: Economic modelling 39 (2014), pp. 232-239
Persistent link: https://www.econbiz.de/10010421855
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Modelling the implied volatility surface based on Shanghai 50ETF options
Wang, Jinzhong; Chen, Shijiang; Tao, Qizhi; Zhang, Ting - In: Economic modelling 64 (2017), pp. 295-301
Persistent link: https://www.econbiz.de/10011761005