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Volatility risk premium implications of GARCH option pricing models
Papantonis, Ioannis - In: Economic modelling 58 (2016), pp. 104-115
Persistent link: https://www.econbiz.de/10011647056
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Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses
Kim, Hwa-sung; Kim, Bara; Kim, Jerim - In: Economic modelling 41 (2014), pp. 15-22
Persistent link: https://www.econbiz.de/10010438507
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Stochastic lattice models for valuation of volatility options
Ma, Jingtang; Li, Wenyuan; Han, Xu - In: Economic modelling 47 (2015), pp. 93-104
Persistent link: https://www.econbiz.de/10011438895
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Decomposing and valuing convertible bonds : a new method based on exotic options
Feng, Yun; Huang, Bing-hua; Young, Martin R.; Zhou, Qi-yuan - In: Economic modelling 47 (2015), pp. 193-206
Persistent link: https://www.econbiz.de/10011439095
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Catastrophe options with double compound Poisson processes
Yu, Jun - In: Economic modelling 50 (2015), pp. 291-297
Persistent link: https://www.econbiz.de/10011440613
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Valuing commodity options and futures options with changing economic conditions
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 51 (2015), pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
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Does debt curb controlling shareholders' private benefits? : modelling in a contingent claim framework
La Bruslerie, Hubert de - In: Economic modelling 58 (2016), pp. 263-282
Persistent link: https://www.econbiz.de/10011647350
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Convenience yield, realised volatility and jumps : evidence from non-ferrous metals
Omura, Akihiro; Li, Bin; Chung, Richard; Todorova, Neda - In: Economic modelling 70 (2018), pp. 496-510
Persistent link: https://www.econbiz.de/10012027980
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Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338
Persistent link: https://www.econbiz.de/10011642179
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Preemptive investment game with alternative projects
Nishihara, Michi - In: Economic modelling 43 (2014), pp. 124-135
Persistent link: https://www.econbiz.de/10010502204