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Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
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Testing Greeks and price changes in the S&P 500 options and futures contract : a regression analysis
Hilliard, Jitka - In: International review of financial analysis 26 (2013), pp. 51-58
Persistent link: https://www.econbiz.de/10009717219
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Skew-Brownian motion and pricing European exchange options
Pasricha, Puneet; He, Xin-Jiang - In: International review of financial analysis 82 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013426145
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Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao; Hsieh, Chang-Chieh; Huang, Zi-Wei; Lin, … - In: International review of financial analysis 90 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468776
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Risk appetite and option prices : evidence from the Chinese SSE50 options market
Liu, Qing; Wang, Shouyang; Sui, Cong - In: International review of financial analysis 86 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014248927
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Synthetizing a debt guarantee : super-replication versus utility approach
Jacques, Sébastien; Lai, Van Son; Soumaré, Issouf - In: International review of financial analysis 20 (2011) 1, pp. 27-40
Persistent link: https://www.econbiz.de/10009295925
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Trading activity of VIX futures and options around FOMC announcements
Huang, Hong-Gia; Tsai, Wei-Che; Yang, J. Jimmy - In: International review of financial analysis 94 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014543990
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On the right jump tail inferred from the VIX market
Li, Zhenxiong; Yao, Xingzhi; Izzeldin, Marwan - In: International review of financial analysis 86 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014248409
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Multivariate depencence of implied volatilities from equity options as measure of systemic risk
Jobst, Andreas A. - In: International review of financial analysis 28 (2013), pp. 112-129
Persistent link: https://www.econbiz.de/10009762689
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Forecasting option smile dynamics
Le, Van; Zurbruegg, Ralf - In: International review of financial analysis 35 (2014), pp. 32-45
Persistent link: https://www.econbiz.de/10010529632