Works matching DE "MATHEMATICAL models of derivative securities"

Results: 59

Ross recovery with recurrent and transient processes.

Published in:

Quantitative Finance, 2016, v. 16, n. 5, p. 667, doi. 10.1080/14697688.2015.1092572

By:

Park, Hyungbin

Publication type:

Article

A perturbative approach to Bermudan options pricing with applications.

Published in:

Quantitative Finance, 2013, v. 13, n. 2, p. 255, doi. 10.1080/14697688.2011.589400

By:

Baviera, Roberto;
Giada, Lorenzo

Publication type:

Article

Think again: volatility asymmetry and volatility persistence.

Published in:

Studies in Nonlinear Dynamics & Econometrics, 2019, v. 23, n. 1, p. N.PAG, doi. 10.1515/snde-2017-0020

By:

Baur, Dirk G.;
Dimpfl, Thomas

Publication type:

Article

GARCH Model Estimation Using Estimated Quadratic Variation.

Published in:

Econometric Reviews, 2015, v. 34, n. 6-10, p. 1171, doi. 10.1080/07474938.2014.956629

By:

Galbraith, JohnW.;
Zinde-Walsh, Victoria;
Zhu, Jingmei

Publication type:

Article

RESEARCH OF VALUE-AT-RISK ESTIMATION APPLICATION IN STOCK MARKET BASED ON COPULA THEORY.

Published in:

Journal of the Balkan Tribological Association, 2016, v. 22, n. 2A-I, p. 1804

By:

GAN TAO

Publication type:

Article

A Market Volatility Analysis of the Shanghai-Hong Kong Stock Connect Program.

Published in:

International Journal of Business & Economics, 2018, v. 17, n. 2, p. 113

By:

Tung-Zong (Donald) Chang;
Su-Jane Chen;
Hongmei Gu;
Aijie Jiang

Publication type:

Article

ON SOME GENERALIZATION OF THE COX-ROSS-RUBINSTEIN MODEL AND ITS ASYMPTOTICS OF BLACK-SCHOLES TYPE.

Published in:

Bulletin de la Société des Sciences et des Lettres de Lodz, 2014, v. 64, n. 1, p. 25

By:

Fraszka-Sobczyk, Emilia

Publication type:

Article

LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH.

Published in:

International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 6, p. -1, doi. 10.1142/S0219024917500376

By:

LEUNG, TIM;
PARK, HYUNGBIN

Publication type:

Article

ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES.

Published in:

International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 5, p. -1, doi. 10.1142/S0219024916500308

By:

JORDAN, RICHARD;
TIER, CHARLES

Publication type:

Article

Pricing futures by deterministic methods.

Published in:

Acta Numerica, 2012, v. 21, p. 577, doi. 10.1017/S0962492912000074

By:

Pironneau, Olivier

Publication type:

Article

Estimativas de Longo Prazo para Volatilidade de Séries Temporais no Mercado Financeiro Brasileiro.

Published in:

Brazilian Review of Finance / Revista Brasileira de Finanças, 2013, v. 11, n. 4, p. 455, doi. 10.12660/rbfin.v11n4.2013.8187

By:

Moraes, Alex Sandro Monteiro de;
Pinto, Antonio Carlos Figueiredo;
Klotzle, Marcelo Cabus

Publication type:

Article

Shifts in Individual Parameters of a GARCH Model.

Published in:

Journal of Financial Econometrics, 2010, v. 8, n. 1, p. 122, doi. 10.1093/jjfinec/nbp007

By:

Galeano, Pedro;
Tsay, Ruey S.

Publication type:

Article

BOUNDARY CONTROL OF THE BLACK-SCHOLES PDE FOR OPTION DYNAMICS STABILIZATION.

Published in:

Annals of Financial Economics, 2016, v. 11, n. 2, p. -1, doi. 10.1142/S2010495216500093

By:

RIGATOS, GERASIMOS G.

Publication type:

Article

A backward Monte Carlo approach to exotic option pricing.

Published in:

European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 146, doi. 10.1017/S0956792517000079

By:

BORMETTI, G.;
CALLEGARO, G.;
LIVIERI, G.;
PALLAVICINI, A.

Publication type:

Article

Pricing an Arithmetic Average Reset Option Using the Green Function Method.

Published in:

Asia Pacific Management Review, 2013, v. 18, n. 2, p. 125, doi. 10.6126/APMR.2013.18.2.01

By:

Yi-Long Hsiao;
Ming-Long Wang, Andrew;
Chia-Yu Chen

Publication type:

Article

Testing for Nonlinear Dependence in the Credit Default Swap Market.

Published in:

Economics Research International, 2011, p. 1, doi. 10.1155/2011/708704

By:

Moloney, Kitty;
Raghavendra, Srinivas

Publication type:

Article

Editor's Letter.

Published in:

Journal of Derivatives, 2024, v. 31, n. 4, p. 1, doi. 10.3905/jod.2024.31.4.001

By:

Pimbley, Joseph M.

Publication type:

Article

Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation.

Published in:

Journal of Derivatives, 2023, v. 30, n. 3, p. 42, doi. 10.3905/jod.2022.1.175

By:

Kim, Young Shin;
Kim, Hyangju;
Choi, Jaehyung;
Fabozzi, Frank J.

Publication type:

Article

On the Term Structure of VIX Futures' Implied Convexity.

Published in:

Journal of Derivatives, 2023, v. 30, n. 3, p. 10, doi. 10.3905/jod.2022.1.170

By:

Annis, David H.;
Abasto, Damian F.

Publication type:

Article

Improving and Extending the Wu-Zhu Static Hedge.

Published in:

Journal of Derivatives, 2023, v. 30, n. 3, p. 26, doi. 10.3905/jod.2022.1.173

By:

Guo, Shuxin;
Liu, Qiang

Publication type:

Article

Untitled.

Published in:

Journal of Derivatives, 2023, v. 30, n. 3, p. 1, doi. 10.3905/jod.2023.30.3.001

By:

Pimbley, Joseph M.

Publication type:

Article

Malliavin Derivatives of Derivative Securities.

Published in:

Journal of Derivatives, 2022, v. 30, n. 2, p. 65, doi. 10.3905/jod.2022.30.2.065

By:

Davis, Tom P.

Publication type:

Article

Handling the Use of Derivatives in Performance Attribution.

Published in:

Journal of Derivatives, 2022, v. 29, n. 4, p. 121, doi. 10.3905/jod.2022.1.154

By:

Feibel, Bruce J.

Publication type:

Article

Model-Based versus Model-Free Implied Volatility: Evidence from North American, European, and Asian Index Option Markets.

Published in:

Journal of Derivatives, 2017, v. 24, n. 3, p. 42, doi. 10.3905/jod.2017.24.3.042

By:

BIKTIMIROV, ERNEST N.;
CHUNRONG WANG

Publication type:

Article

Option Pricing via QUAD: From Black-Scholes-Merton to Heston with Jumps.

Published in:

Journal of Derivatives, 2017, v. 24, n. 3, p. 9, doi. 10.3905/jod.2017.24.3.009

By:

HAOZHE SU;
DING CHEN;
NEWTON, DAVID P.

Publication type:

Article

An Option-Based Model for Valuing the Common Stock of Emerging-Growth Firms.

Published in:

Journal of Derivatives, 2016, v. 23, n. 4, p. 33, doi. 10.3905/jod.2016.23.4.033

By:

FINNERTY, JOHN D.

Publication type:

Article

The Valuation of Compound Options: A Correction and an Extension.

Published in:

Journal of Derivatives, 2015, v. 22, n. 4, p. 92, doi. 10.3905/jod.2015.22.4.092

By:

CHEN, REN-RAW;
HE, WEI

Publication type:

Article

What We Can Learn from Pricing 139,879 Individual Stock Options.

Published in:

Journal of Derivatives, 2015, v. 22, n. 4, p. 54, doi. 10.3905/jod.2015.22.4.054

By:

STENTOFT, LARS

Publication type:

Article

GARCH Option Valuation: Theory and Evidence.

Published in:

Journal of Derivatives, 2013, v. 21, n. 2, p. 8, doi. 10.3905/jod.2013.21.2.008

By:

CHRISTOFFERSEN, PETER;
JACOBS, KRIS;
ORNTHANALAI, CHAYAWAT

Publication type:

Article

CHOOSING THE BEST PERFORMING GARCH MODEL FOR SRI LANKA STOCK MARKET BY NON-PARAMETRIC SPECIFICATION TEST.

Published in:

Journal of Data Science, 2015, v. 13, n. 3, p. 457

By:

Jahufer, Aboobacker

Publication type:

Article

Rogue State Behavior and Markets: the Financial Fallout of North Korean Nuclear Tests.

Published in:

Peace Economics, Peace Science, & Public Policy, 2014, v. 20, n. 2, p. 267, doi. 10.1515/peps-2013-0050

By:

Kollias, Christos;
Psarianos, Stephanos;
Iacovos, Papadamou

Publication type:

Article

Worst-Case Value at Risk of Nonlinear Portfolios.

Published in:

Management Science, 2013, v. 59, n. 1, p. 172, doi. 10.1287/mnsc.1120.1615

By:

Zymler, Steve;
Kuhn, Daniel;
Rustem, Berç

Publication type:

Article

INFLÁCIÓN E INCERTIDUMBRE INFLACIONARIA EN BOLÍVIA.

Published in:

Trimestre Económico, 2013, v. 80, n. 2, p. 401, doi. 10.20430/ete.v80i318.93

By:

Bojanic, Antonio N.

Publication type:

Article

Regime-dependent Characteristics of KOSPI Return.

Published in:

Communications for Statistical Applications & Methods, 2014, v. 21, n. 6, p. 501, doi. 10.5351/CSAM.2014.21.6.501

By:

Woohwan Kim;
Seungbeom Banga

Publication type:

Article

ON A GJR-GARCH MODEL WITH THE STANDARDIZED PEARSON TYPE IV DISTRIBUTION.

Published in:

Global Business & Economics Anthology, 2014, v. 1, p. 73

By:

Stavroyiannis, Stavros

Publication type:

Article

The Peculiar Logic of the Black-Scholes Model.

Published in:

Philosophy of Science, 2018, v. 85, n. 5, p. 1152, doi. 10.1086/699677

By:

Weatherall, James Owen

Publication type:

Article

SIMPLE CHOOSER OPTIONS WITH MAPLE.

Published in:

Technical Transactions / Czasopismo Techniczne, 2014, n. 17, p. 39

By:

MILIAN, ANNA

Publication type:

Article

SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY.

Published in:

Finanse, 2015, v. 11, n. 1, p. 32, doi. 10.14636/1734-039X_11_1_004

By:

STAWIARSKI, BARTOSZ

Publication type:

Article

Forecasting the variance and return of Mexican financial series with symmetric GARCH models.

Published in:

Theoretical & Applied Economics, 2013, v. 20, n. 3, p. 61

By:

VILLALBA PADILLA, Fátima Irina;
FLORES-ORTEGA, Miguel

Publication type:

Article

Investors' and Central Bank's Uncertainty Embedded in Index Options.

Published in:

Review of Financial Studies, 2014, v. 27, n. 6, p. 1661, doi. 10.1093/rfs/hhu024

By:

David, Alexander;
Veronesi, Pietro

Publication type:

Article

Economic Linkages, Relative Scarcity, and Commodity Futures Returns.

Published in:

Review of Financial Studies, 2013, v. 26, n. 5, p. 1324, doi. 10.1093/rfs/hhs127

By:

Casassus, Jaime;
Liu, Peng;
Tang, Ke

Publication type:

Article

What's Vol Got to Do with It.

Published in:

Review of Financial Studies, 2011, v. 24, n. 1, p. 1, doi. 10.1093/rfs/hhq085

By:

Drechsler, Itamar;
Yaron, Amir

Publication type:

Article

Dependence between Croatian and European stock markets - A copula GARCH approach.

Published in:

Proceedings of Rijeka Faculty of Economics: Journal of Economics & Business, 2013, v. 31, n. 2, p. 209

By:

Dajčman, Silvo

Publication type:

Article

Stochastic Differential Equations for Modeling of High Maneuvering Target Tracking.

Published in:

ETRI Journal, 2013, v. 35, n. 5, p. 849, doi. 10.4218/etrij.13.0113.0097

By:

Hajiramezanali, Mohammadehsan;
Fouladi, Seyyed Hamed;
Ritcey, James A.;
Amindavar, Hamidreza

Publication type:

Article

Sequential Information Arrival Hypothesis: More Evidence from the Indian Derivatives Market.

Published in:

Vision (09722629), 2016, v. 20, n. 2, p. 101, doi. 10.1177/0972262916637259

By:

Jena, Sangram K.

Publication type:

Article

Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean Market.

Published in:

Emerging Markets Finance & Trade, 2018, v. 54, n. 11, p. 2516, doi. 10.1080/1540496X.2018.1456917

By:

Lee, Kyungsub;
Seo, Byoung Ki

Publication type:

Article

Information Content in Sneer Asymmetry: An Application to Out-of-Sample Implied Volatility Forecasting.

Published in:

Emerging Markets Finance & Trade, 2015, v. 51, p. 34, doi. 10.1080/1540496X.2015.1039900

By:

Choi, Youngsoo;
Jordan, Steven J.;
Lee, Wonchang

Publication type:

Article

Asia-Pacific Stock Return Predictability and Market Information Flows.

Published in:

Emerging Markets Finance & Trade, 2015, v. 51, n. 3, p. 658, doi. 10.1080/1540496X.2015.1046336

By:

Lin, Chien-Chih

Publication type:

Article

On the Parametric Interest of the Option Price from the Black-Scholes Equation.

Published in:

IAENG International Journal of Applied Mathematics, 2016, v. 46, n. 1, p. 87

By:

Kananthai, Amnuay;
Suksern, Supaporn

Publication type:

Article

Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model.

Published in:

Asia-Pacific Financial Markets, 2011, v. 18, n. 1, p. 55, doi. 10.1007/s10690-010-9120-6

By:

Satoyoshi, Kiyotaka;
Mitsui, Hidetoshi

Publication type:

Article