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Empirical tests of canonical nonparametric American option-pricing methods
Alcock, Jamie; Auerswald, Diana - In: The journal of futures markets 30 (2010) 6, pp. 509-532
Persistent link: https://www.econbiz.de/10003962643
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Approximate pricing of American exchange options with jumps
Lian, Guanghua; Elliott, Robert J.; Kalev, Petko S.; … - In: The journal of futures markets 42 (2022) 6, pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
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The effects of structural breaks and long memory on currency hedging
Lien, Da-hsiang Donald; Li, Yang - In: The journal of futures markets 30 (2010) 7, pp. 607-632
Persistent link: https://www.econbiz.de/10003985029
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Optimal hedge ratios in the presence of common jumps
Chan, Wing Hong - In: The journal of futures markets 30 (2010) 8, pp. 801-807
Persistent link: https://www.econbiz.de/10003985103
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The bias in time series volatility forecasts
Ederington, Louis H.; Guan, Wei - In: The journal of futures markets 30 (2010) 4, pp. 305-323
Persistent link: https://www.econbiz.de/10003962585
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Option prices and risk-neutral densities for currency cross rates
Taylor, Stephen; Wang, Yaw-huei - In: The journal of futures markets 30 (2010) 4, pp. 324-360
Persistent link: https://www.econbiz.de/10003962596
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General equilibrium and preference free model for pricing options under transformed gamma distribution
Vitiello, Luiz; Poon, Ser-Huang - In: The journal of futures markets 30 (2010) 5, pp. 409-431
Persistent link: https://www.econbiz.de/10003962630
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Closed-form option pricing formulas with extreme events
Câmara, António; Heston, Steven L. - In: The journal of futures markets 28 (2008) 3, pp. 213-230
Persistent link: https://www.econbiz.de/10003699314
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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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Box-spread arbitrage efficiency of nifty index options : the Indian evidence
Vipul - In: The journal of futures markets 29 (2009) 6, pp. 544-562
Persistent link: https://www.econbiz.de/10003842868