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Vix option pricing
Lin, Yueh-neng; Chang, Chien-hung - In: The journal of futures markets 29 (2009) 6, pp. 523-543
Persistent link: https://www.econbiz.de/10003842866
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A reality check on technical trading rule profits in the US futures markets
Park, Cheol-ho; Irwin, Scott H. - In: The journal of futures markets 30 (2010) 7, pp. 633-659
Persistent link: https://www.econbiz.de/10003985040
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Valuation of housing index derivatives
Cao, Melanie; Wei, Jason - In: The journal of futures markets 30 (2010) 7, pp. 660-688
Persistent link: https://www.econbiz.de/10003985042
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Performance and persistence of commodity trading advisors : further evidence
Gregoriou, Greg N.; Hübner, Georges; Kooli, Maher - In: The journal of futures markets 30 (2010) 8, pp. 725-752
Persistent link: https://www.econbiz.de/10003985082
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Regime-switsching in stock index and treasury futures returns and measures of stock market stress
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 30 (2010) 8, pp. 753-779
Persistent link: https://www.econbiz.de/10003985087
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Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps : application to the airline industry
Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: The journal of futures markets 29 (2009) 8, pp. 736-756
Persistent link: https://www.econbiz.de/10003897846
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Empirical evidence on the dependence of credit default swaps and equity prices
Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; … - In: The journal of futures markets 29 (2009) 8, pp. 695-712
Persistent link: https://www.econbiz.de/10003899237
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Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - In: The journal of futures markets 29 (2009) 9, pp. 826-839
Persistent link: https://www.econbiz.de/10003900848
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A copula-based regime-switching GARCH model for optimal futures hedging
Lee, Hsiang-tai - In: The journal of futures markets 29 (2009) 10, pp. 946-972
Persistent link: https://www.econbiz.de/10003900947
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Model risk adjusted hedge ratios
Alexander, Carol; Kaeck, Andreas; Nogueira, Leonardo M. - In: The journal of futures markets 29 (2009) 11, pp. 1021-1049
Persistent link: https://www.econbiz.de/10003900965