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Wavelet-based option pricing : an empirical study
Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
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A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
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Long-run wavelet-based correlation for financial time series
Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696
Persistent link: https://www.econbiz.de/10011890368
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Clustering financial time series : new insights from an extended hidden Markov model
Dias, José G.; Vermunt, Jeroen K.; Ramos, Sofia B. - In: European journal of operational research : EJOR 243 (2015) 3, pp. 852-864
Persistent link: https://www.econbiz.de/10010513848
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Modeling and forecasting exchange rate volatility in time-frequency domain
Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - In: European journal of operational research : EJOR 251 (2016) 1, pp. 329-340
Persistent link: https://www.econbiz.de/10011446589
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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Pricing VXX option with default risk and positive volatility skew
Bao, Qunfang; Li, Shenghong; Gong, Donggeng - In: European journal of operational research : EJOR 223 (2012) 1, pp. 246-255
Persistent link: https://www.econbiz.de/10009613957
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Robust option pricing
Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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Pricing caps with HJM models : the benefits of humped volatility
Falini, Jury - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1358-1367
Persistent link: https://www.econbiz.de/10008702195
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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian; Zou, Yihan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 801-815
Persistent link: https://www.econbiz.de/10012595911