Narrow search
Showing 1 - 10 of 14
Cover Image
A closed-form GARCH option valuation model
Heston, Steven L.; Nandi, Saikat - In: The review of financial studies 13 (2000) 3, pp. 585-625
Persistent link: https://www.econbiz.de/10001499745
Cover Image
A closed-form GARCH option pricing model
Heston, Steven L.; Nandi, Saikat - 1997
Persistent link: https://www.econbiz.de/10000985996
Cover Image
A two-factor term structure model under GARCH volatility
Heston, Steven L.; Nandi, Saikat - In: The journal of fixed income 13 (2003) 1, pp. 87-95
Persistent link: https://www.econbiz.de/10001782469
Cover Image
Treasury auctions : what do the recent models and results tell us?
Nandi, Saikat - In: Economic review 82 (1997) 4, pp. 4-15
Persistent link: https://www.econbiz.de/10001234406
Cover Image
How important is the correlation between returns and volatility in a stochastic volatility model? : Empirical evidence from pricing and hedging in the S&P 500 index options market
Nandi, Saikat - In: Journal of banking & finance 22 (1998) 5, pp. 589-610
Persistent link: https://www.econbiz.de/10001243308
Cover Image
Pricing and hedging index options under stochastic volatility : an empirical examiniation
Nandi, Saikat - 1996
Persistent link: https://www.econbiz.de/10000958009
Cover Image
A model of discontinuous interest rate behavior, yield curves, and volatility
Heston, Steven L. - In: Review of derivatives research 10 (2007) 3, pp. 205-225
Persistent link: https://www.econbiz.de/10003748108
Cover Image
The risks and rewards of selling volatility
Nandi, Saikat; Waggoner, Daniel - In: Economic review 86 (2001) 1, pp. 31-39
Persistent link: https://www.econbiz.de/10001581207
Cover Image
A multi-factor Markovian HJM model for pricing : American interest rate derivatives
Kramin, Marat V.; Nandi, Saikat; Shulman, Alexander L. - In: Review of quantitative finance and accounting 31 (2008) 4, pp. 359-378
Persistent link: https://www.econbiz.de/10003799579
Cover Image
The structure of international stock returns and the integration of capital markets
Heston, Steven L. - In: Journal of empirical finance 2 (1995) 3, pp. 173-197
Persistent link: https://www.econbiz.de/10001203347