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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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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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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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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
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What determines volatility smile in China?
Li, Pengshi; Xian, Aichuan; Lin, Yan - In: Economic modelling 96 (2021), pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
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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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An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.; Kumar, Dilip - In: Economic modelling 33 (2013), pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
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Testing for Granger causality in distribution tails : an application to oil markets integration
Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic modelling 31 (2013), pp. 276-285
Persistent link: https://www.econbiz.de/10009729103
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Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
Xie, Wen-jie; Jiang, Zhi-qiang; Zhou, Wei-xing - In: Economic modelling 36 (2014), pp. 8-17
Persistent link: https://www.econbiz.de/10010412098