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There are 23598 results for: content related to: Asymmetric pricing of implied systematic volatility in the cross-section of expected returns

  1. Optimal partial hedging of options with small transaction costs

    Journal of Futures Markets

    Volume 31, Issue 9, September 2011, Pages: 855–897, A. Elizabeth Whalley

    Article first published online : 3 JAN 2011, DOI: 10.1002/fut.20498

  2. The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index

    Journal of Futures Markets

    Volume 31, Issue 12, December 2011, Pages: 1170–1201, San-Lin Chung, Wei-Che Tsai, Yaw-Huei Wang and Pei-Shih Weng

    Article first published online : 27 MAY 2011, DOI: 10.1002/fut.20532

  3. A Markov regime-switching ARMA approach for hedging stock indices

    Journal of Futures Markets

    Volume 31, Issue 2, February 2011, Pages: 165–191, Chao-Chun Chen and Wen-Jen Tsay

    Article first published online : 27 APR 2010, DOI: 10.1002/fut.20465

  4. A new look at the forward premium “puzzle”

    Journal of Futures Markets

    Volume 31, Issue 7, July 2011, Pages: 599–628, Haitham A. Al-Zoubi

    Article first published online : 8 OCT 2010, DOI: 10.1002/fut.20486

  5. Demutualization and customer protection at self-regulatory financial exchanges

    Journal of Futures Markets

    Volume 31, Issue 2, February 2011, Pages: 126–164, David Reiffen and Michel Robe

    Article first published online : 24 MAY 2010, DOI: 10.1002/fut.20467

  6. Cash trading and index futures price volatility

    Journal of Futures Markets

    Volume 31, Issue 5, May 2011, Pages: 465–486, Jinliang Li

    Article first published online : 20 JUL 2010, DOI: 10.1002/fut.20478

  7. The dynamics of long forward rate term structures

    Journal of Futures Markets

    Volume 30, Issue 10, October 2010, Pages: 957–982, Xingguo Luo and Jin E. Zhang

    Article first published online : 20 JAN 2010, DOI: 10.1002/fut.20447

  8. An analytical formula for VIX futures and its applications

    Journal of Futures Markets

    Volume 32, Issue 2, February 2012, Pages: 166–190, Song-Ping Zhu and Guang-Hua Lian

    Article first published online : 8 FEB 2011, DOI: 10.1002/fut.20512

  9. Efficient quadrature and node positioning for exotic option valuation

    Journal of Futures Markets

    Volume 30, Issue 11, November 2010, Pages: 1026–1057, San-Lin Chung, Kunyi Ko, Mark B. Shackleton and Chung-Ying Yeh

    Article first published online : 30 APR 2010, DOI: 10.1002/fut.20462

  10. On the calibration of mortality forward curves

    Journal of Futures Markets

    Volume 31, Issue 10, October 2011, Pages: 947–970, Johnny Siu-Hang Li, Andrew Cheuk-Yin Ng and Wai-Sum Chan

    Article first published online : 30 NOV 2010, DOI: 10.1002/fut.20500

  11. On the rate of convergence of binomial Greeks

    Journal of Futures Markets

    Volume 31, Issue 6, June 2011, Pages: 562–597, San-Lin Chung, Weifeng Hung, Han-Hsing Lee and Pai-Ta Shih

    Article first published online : 7 SEP 2010, DOI: 10.1002/fut.20484

  12. The new market for volatility trading

    Journal of Futures Markets

    Volume 30, Issue 9, September 2010, Pages: 809–833, Jin E. Zhang, Jinghong Shu and Menachem Brenner

    Article first published online : 22 JAN 2010, DOI: 10.1002/fut.20448

  13. Currency option pricing: Mean reversion and multi-scale stochastic volatility

    Journal of Futures Markets

    Volume 30, Issue 10, October 2010, Pages: 938–956, Hoi Ying Wong and Jing Zhao

    Article first published online : 22 JAN 2010, DOI: 10.1002/fut.20452

  14. A new simple square root option pricing model

    Journal of Futures Markets

    Volume 30, Issue 11, November 2010, Pages: 1007–1025, António Câmara and Yaw-huei Wang

    Article first published online : 24 FEB 2010, DOI: 10.1002/fut.20458

  15. Market efficiency among futures with different maturities: Evidence from the crude oil futures market

    Journal of Futures Markets

    Volume 31, Issue 5, May 2011, Pages: 487–501, Kaoru Kawamoto and Shigeyuki Hamori

    Article first published online : 20 JUL 2010, DOI: 10.1002/fut.20479

  16. The early news catches the attention: On the relative price impact of similar economic indicators

    Journal of Futures Markets

    Volume 30, Issue 10, October 2010, Pages: 909–937, Dieter Hess and Alexandra Niessen

    Article first published online : 27 JAN 2010, DOI: 10.1002/fut.20450

  17. Economic determinants of default risks and their impacts on credit derivative pricing

    Journal of Futures Markets

    Volume 30, Issue 11, November 2010, Pages: 1058–1081, Szu-Lang Liao and Jui-Jane Chang

    Article first published online : 16 FEB 2010, DOI: 10.1002/fut.20453

  18. Delivery horizon and grain market volatility

    Journal of Futures Markets

    Volume 30, Issue 9, September 2010, Pages: 846–873, Berna Karali, Jeffrey H. Dorfman and Walter N. Thurman

    Article first published online : 27 JAN 2010, DOI: 10.1002/fut.20449

  19. Optimal arbitrage strategies on stock index futures under position limits

    Journal of Futures Markets

    Volume 31, Issue 4, April 2011, Pages: 394–406, Min Dai, Yifei Zhong and Yue Kuen Kwok

    Article first published online : 6 JUL 2010, DOI: 10.1002/fut.20472

  20. Pricing real options under the constant elasticity of variance diffusion

    Journal of Futures Markets

    Volume 31, Issue 3, March 2011, Pages: 230–250, José Carlos Dias and João Pedro Vidal Nunes

    Article first published online : 24 MAY 2010, DOI: 10.1002/fut.20468