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Regulatory Soft Interventions in the Chinese Market: Compliance Effects and Impact on Option Market Efficiency.
- Published in:
- Financial Review, 2019, v. 54, n. 2, p. 265, doi. 10.1111/fire.12189
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- Article
Estimating Early Exercise Premiums on Gold and Copper Options Using a Multifactor Model and Density Matched Lattices.
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- Financial Review, 2015, v. 50, n. 1, p. 27, doi. 10.1111/fire.12059
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- Article
Timing versus Buy and Hold: A Model for Determining Predictive Accuracy Required for Superior Performance.
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- Financial Review, 2011, v. 46, n. 4, p. 595, doi. 10.1111/j.1540-6288.2011.00313.x
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- Article
Valuing Prepayment and Default in a Fixed-Rate Mortgage: A Bivariate Binomial Options Pricing Technique.
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- Real Estate Economics, 1998, v. 26, n. 3, p. 431, doi. 10.1111/1540-6229.00752
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- Article
Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects.
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- Journal of Finance (Wiley-Blackwell), 1984, v. 39, n. 5, p. 1547, doi. 10.1111/j.1540-6261.1984.tb04924.x
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- Article
A Unified Approach to Hedging Interest Rate Risk with Financial Futures.
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- Decision Sciences, 1988, v. 19, n. 3, p. 654, doi. 10.1111/j.1540-5915.1988.tb00292.x
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- Article
OBTAINING AND PARAMETERIZING MULTIPERIOD PORTFOLIOS WITH DESIRABLE CHARACTERISTICS UNDER LOGNORMAL REGURNS.
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- Decision Sciences, 1982, v. 13, n. 2, p. 240, doi. 10.1111/j.1540-5915.1982.tb00146.x
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- Article
MULTIVARIATE SPECTRAL ANALYSIS-AN ILLUSTRATION.
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- Decision Sciences, 1977, v. 8, n. 4, p. 734
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- Article
A SPECTRAL ANALYSIS OF THE INTERACTION BETWEEN INVENTORIES AND SALES OF MERCHANT WHOLESALERS.
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- Decision Sciences, 1975, v. 6, n. 2, p. 307, doi. 10.1111/j.1540-5915.1975.tb01023.x
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- Article
A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter?
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- Review of Pacific Basin Financial Markets & Policies, 2015, v. 18, n. 1, p. -1, doi. 10.1142/S021909151550006X
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- Article
Rebalancing versus buy and hold: theory, simulation and empirical analysis.
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- Review of Quantitative Finance & Accounting, 2018, v. 50, n. 1, p. 1, doi. 10.1007/s11156-017-0621-5
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- Article
Analytics Underlying the Metallgesellschaft Hedge: Short Term Futures in a Multi-Period Environment.
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- Review of Quantitative Finance & Accounting, 1999, v. 12, n. 3, p. 195, doi. 10.1023/A:1008383017921
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- Article
CVP Analysis under Uncertainty: A Log Normal Approach -- A Reply.
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- Accounting Review, 1976, v. 51, n. 1, p. 168
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- Article
Cost-Volume-Profit Analysis Under Uncertainty: A Log Normal Approach.
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- Accounting Review, 1975, v. 50, n. 1, p. 69
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- Article
Jump Processes in Commodity Futures Prices and Options Pricing.
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- American Journal of Agricultural Economics, 1999, v. 81, n. 2, p. 273, doi. 10.2307/1244581
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- Article
A Cross-Spectral Analysis of Beef Prices.
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- American Journal of Agricultural Economics, 1975, v. 57, n. 2, p. 309, doi. 10.2307/1238506
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- Article
A GENERALIZED UTILITY MODEL OF SHOPPING BEHAVIOR.
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- Advances in Consumer Research, 1975, v. 2, n. 1, p. 157
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- Article
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze.
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- Journal of Futures Markets, 2023, v. 43, n. 5, p. 635, doi. 10.1002/fut.22405
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- Article
The impact of soft intervention on the Chinese financial futures market.
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- Journal of Futures Markets, 2020, v. 40, n. 3, p. 374, doi. 10.1002/fut.22076
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- Article
Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps.
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- Journal of Futures Markets, 2015, v. 35, n. 4, p. 385, doi. 10.1002/fut.21667
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- Article
Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry.
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- Journal of Futures Markets, 2009, v. 29, n. 8, p. 736, doi. 10.1002/fut.20379
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- Article
An empirical analysis of multi-period hedges: Applications to commercial and investment assets.
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- Journal of Futures Markets, 2005, v. 25, n. 6, p. 587, doi. 10.1002/fut.20156
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- Article
Pricing a class of American and European path dependent securities.
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- Management Science, 1995, v. 41, n. 12, p. 1892, doi. 10.1287/mnsc.41.12.1892
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- Article
The Relationship Between Equity Indices on World Exchanges.
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- Journal of Finance (Wiley-Blackwell), 1979, v. 34, n. 1, p. 103, doi. 10.1111/j.1540-6261.1979.tb02074.x
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- Article
BINOMIAL OPTION PRICING UNDER STOCHASTIC VOLATILITY AND CORRELATED STATE VARIABLES.
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- Journal of Derivatives, 1996, v. 4, n. 1, p. 23, doi. 10.3905/jod.1996.407962
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- Article
CROSS-SPECTRAL ANALYSIS OF THE LAG STRUCTURE BETWEEN MANUFACTURES' INVENTORIES AND SHIPMENTS.
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- Southern Economic Journal, 1974, v. 40, n. 3, p. 377, doi. 10.2307/1056011
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- Article
COINTEGRATION BETWEEN THE BLACK SEA AND KANSAS CITY WHEAT FUTURES: THE IMPACT OF RUSSIAN INVASION OF UKRAINE.
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- Journal of Eastern European & Central Asian Research, 2023, v. 10, n. 3, p. 413, doi. 10.15549/jeecar.v10i3.1177
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- Article
SHORT-MATURITY OPTIONS AND JUMP MEMORY.
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- Journal of Financial Research, 2007, v. 30, n. 3, p. 437, doi. 10.1111/j.1475-6803.2007.00222.x
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- Article
ON THE STATISTICAL SIGNIFICANCE OF EVENT EFFECTS ON UNSYSTEMATIC VOLATILITY.
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- Journal of Financial Research, 2002, v. 25, n. 4, p. 447, doi. 10.1111/1475-6803.00030
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- Article
PRICING CURRENCY OPTIONS UNDER STOCHASTIC INTEREST RATES AND JUMP-DIFFUSION PROCESSES.
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- Journal of Financial Research, 2001, v. 24, n. 4, p. 565, doi. 10.1111/j.1475-6803.2001.tb00831.x
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- Article
BIVARIATE BINOMIAL OPTIONS PRICING WITH GENERALIZED INTEREST RATE PROCESSES.
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- Journal of Financial Research, 1996, v. 19, n. 4, p. 585, doi. 10.1111/j.1475-6803.1996.tb00232.x
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- Article
HEDGING INTEREST RATE RISK UNDER TERM STRUCTURE EFFECTS: AN APPLICATION TO FINANCIAL INSTITUTIONS.
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- Journal of Financial Research, 1992, v. 15, n. 4, p. 355, doi. 10.1111/j.1475-6803.1992.tb00118.x
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- Article
Pricing European and American Derivatives under a Jump-Diffusion Process: A Bivariate Tree Approach.
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- Journal of Financial & Quantitative Analysis, 2005, v. 40, n. 3, p. 671, doi. 10.1017/S0022109000001915
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- Article
Valuation of Commodity Futures and Options under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot.
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- Journal of Financial & Quantitative Analysis, 1998, v. 33, n. 1, p. 61, doi. 10.2307/2331378
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- Article
Measuring Risk in Fixed Payment Securities: An Empirical Test of the Structured Full Rank Covariance Matrix.
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- Journal of Financial & Quantitative Analysis, 1991, v. 26, n. 3, p. 345, doi. 10.2307/2331211
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- Article
Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates.
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- Journal of Financial & Quantitative Analysis, 1991, v. 26, n. 2, p. 139, doi. 10.2307/2331261
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- Article
Hedging Interest Rate Risk with Futures Portfolios under Full-Rank Assumptions.
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- Journal of Financial & Quantitative Analysis, 1989, v. 24, n. 2, p. 217, doi. 10.2307/2330773
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- Article
ASSET PRICING UNDER A SUBSET OF LINEAR RISK TOLERANCE FUNCTIONS AND LOG-NORMAL MARKET RETURNS.
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- Journal of Financial & Quantitative Analysis, 1980, v. 15, n. 5, p. 1041, doi. 10.2307/2330171
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- Article
ANALYSIS OF THE WARRANT HEDGE IN A STABLE PARETIAN MARKET.
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- Journal of Financial & Quantitative Analysis, 1977, v. 12, n. 1, p. 85, doi. 10.2307/2330289
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- Article
Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue.
- Published in:
- Management Science, 2008, v. 54, n. 5, p. 1015, doi. 10.1287/mnsc.1070.0826
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- Article