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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
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Simulating path-dependent options : a new approach
Babsiri, Mohamed el; Noel, Gerald - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 65-83
Persistent link: https://www.econbiz.de/10001355631
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Papers and proceedings : Fifty-ninth annual meeting, New York, New York January 4-6, 1999 // American Finance Association. Hans R. Stoll, selection ed.
Stoll, Hans R. (contributor) - American Finance Association - 1999
Persistent link: https://www.econbiz.de/10001395744
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A discrete time option model dependent on expected return : a note
O'Brien, Thomas J. - In: The journal of finance : the journal of the American … 41 (1986) 2, pp. 515-520
Persistent link: https://www.econbiz.de/10001015096
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Equilibrium valuation of foreign exchange claims
Bakshi, Gurdip S. - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 799-826
Persistent link: https://www.econbiz.de/10001222420
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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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Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
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Expected option returns
Coval, Joshua; Shumway, Tyler - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 983-1009
Persistent link: https://www.econbiz.de/10001593017
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The price of options illiquidity
Brenner, Menachem; Eldor, Rafi; Hauser, Shmuel - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 789-805
Persistent link: https://www.econbiz.de/10001604145
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A numerical approach to American currency option valuation
Choi, Seung-mook S.; Marcozzi, Michael D. - In: The journal of derivatives : the official publication … 9 (2001) 2, pp. 19-29
Persistent link: https://www.econbiz.de/10001634680