Pricing vulnerable options with jump risk and liquidity risk.
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- Review of Derivatives Research, 2021, v. 24, n. 3, p. 243, doi. 10.1007/s11147-021-09177-5
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Works matching IS 13806645 AND DT 2021 AND VI 24 AND IP 3
Results: 4
1
2
Mean-variance hedging in the presence of estimation risk.
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- Review of Derivatives Research, 2021, v. 24, n. 3, p. 221, doi. 10.1007/s11147-021-09176-6
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- Article
3
Does model complexity improve pricing accuracy? The case of CoCos.
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- Review of Derivatives Research, 2021, v. 24, n. 3, p. 261, doi. 10.1007/s11147-021-09178-4
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- Article
4
Idiosyncratic volatility, option-based measures of informed trading, and investor attention.
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- Review of Derivatives Research, 2021, v. 24, n. 3, p. 197, doi. 10.1007/s11147-021-09175-7
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- Article