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Conditional heteroskedasticity, asymmetry, and option pricing
Kang, Tae-hoon - In: The journal of futures markets 15 (1995) 8, pp. 901-928
Persistent link: https://www.econbiz.de/10001190835
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Monte Carlo simulation of the CGMY process and option pricing
Ballotta, Laura; Kyriakou, Ioannis - In: The journal of futures markets 34 (2014) 12, pp. 1095-1121
Persistent link: https://www.econbiz.de/10010508677
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Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Tian, Lihui; Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: The journal of futures markets 34 (2014) 10, pp. 957-979
Persistent link: https://www.econbiz.de/10010508685
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The information content of implied volatility in agricultural commodity markets
Giot, Pierre - In: The journal of futures markets 23 (2002) 5, pp. 441-454
Persistent link: https://www.econbiz.de/10001769698
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Pricing Eurodollar futures options with the Heath-Jarrow-Morton model
Cakici, Nusret; Zhu, Jintao - In: The journal of futures markets 21 (2001) 7, pp. 655-680
Persistent link: https://www.econbiz.de/10001588271
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Special issue from the 13th Annual Asia-Pacific Futures Research Symposium : [held jointly with the International Conference on Derivatives and Risk Management in Shanghai, China,...
Webb, Robert I. (contributor) - Asia Pacific Futures Research Symposium <13, 2003, … - 2003
Persistent link: https://www.econbiz.de/10001825698
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Valuing credit derivatives using Gaussian quadrature : a stochastic volatility framework
Tahani, Nabil - In: The journal of futures markets 24 (2004) 1, pp. 3-35
Persistent link: https://www.econbiz.de/10001850811
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The design and pricing of fixed- and moving-window contracts : an application of Asian-basket option pricing methods to the hog-finishing sector
Shao, Renyuan; Roe, Brian - In: The journal of futures markets 23 (2003) 11, pp. 1047-1073
Persistent link: https://www.econbiz.de/10001795037
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Pricing and hedging American fixed-income derivatives with implied volatility structures in the two-factor Heath-Jarrow-Morton model
Zeto, Samuel Yau Man - In: The journal of futures markets 22 (2002) 9, pp. 839-875
Persistent link: https://www.econbiz.de/10001696688
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Time-varying market price of risk in the crude oil futures market
Bhar, Ramaprasad; Lee, Damien - In: The journal of futures markets 31 (2011) 8, pp. 779-807
Persistent link: https://www.econbiz.de/10009157424