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Collateral smile
Leippold, Markus; Su, Lujing - In: Journal of banking & finance 58 (2015), pp. 15-28
Persistent link: https://www.econbiz.de/10011543849
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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
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Measuring banks' liquidity risk : an option-pricing approach
Zhang, Jinqing; He, Liang; An, Yunbi - In: Journal of banking & finance 111 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012221063
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Discrete-time option pricing with stochastic liquidity
Leippold, Markus; Schärer, Steven - In: Journal of banking & finance 75 (2017), pp. 1-16
Persistent link: https://www.econbiz.de/10011742148
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Insider trading, stock return volatility, and the option market's pricing of the information content of insider trading
Chiang, Chin-Han; Chung, Sung Gon; Louis, Henock - In: Journal of banking & finance 76 (2017), pp. 65-73
Persistent link: https://www.econbiz.de/10011814168
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Option pricing under time-varying risk-aversion with applications to risk forecasting
Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138
Persistent link: https://www.econbiz.de/10011814247
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
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Risk factors and their associated risk premia : an empirical analysis of the crude oil market
Hain, Martin; Uhrig-Homburg, Marliese; Unger, Nils - In: Journal of banking & finance 95 (2018), pp. 44-63
Persistent link: https://www.econbiz.de/10011966706
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From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
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Are hazard models superior to traditional bankruptcy prediction approaches? : a comprehensive test
Bauer, Julian; Agarwal, Vineet - In: Journal of banking & finance 40 (2014), pp. 432-442
Persistent link: https://www.econbiz.de/10010403649