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A Leptokurtic Distribution Explains Volatility Skew and Smile eptokurtic分布可解释波动率偏斜和微笑
The Journal of Derivatives Pub Date : 2024-07-27 DOI: 10.3905/jod.2024.1.211
Quanshui Zhao
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引用次数: 0
The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 2019 基于期权的投资策略的表现：2004 年至 2019 年的个股证据
The Journal of Derivatives Pub Date : 2024-07-22 DOI: 10.3905/jod.2024.1.209
M. Hemler, Zhuo Li, Thomas W. Miller
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引用次数: 0
Modeling and Empirical Analysis of Option Pricing with Transaction Costs: A Sub-Mixed Fractional Brownian Motion Approach 含交易成本的期权定价建模与实证分析：亚混合分数布朗运动方法
The Journal of Derivatives Pub Date : 2024-07-20 DOI: 10.3905/jod.2024.1.210
Zhiyong Cheng, Xiaoli Mao, Aiqin Ma
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引用次数: 0
The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges 伦敦银行同业拆借利率大逃亡：分析意义与《全球银行同业拆借利率》（SOFR）过渡挑战
The Journal of Derivatives Pub Date : 2024-07-20 DOI: 10.3905/jod.2024.1.208
Frank J. Fabozzi, Marat Molyboga, Vincenzo Russo
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引用次数: 0
The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction 焦煤期货收益的可预测性：过度反应的视角
The Journal of Derivatives Pub Date : 2024-07-18 DOI: 10.3905/jod.2024.1.207
Yaojie Zhang, Mengxi He, Likun Lei
{"title":"The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction","authors":"Yaojie Zhang, Mengxi He, Likun Lei","doi":"10.3905/jod.2024.1.207","DOIUrl":"https://doi.org/10.3905/jod.2024.1.207","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":" 14","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141825151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion 通过连续时间马尔可夫链逼近和伊托-泰勒展开进行 VIX 期权估值
The Journal of Derivatives Pub Date : 2024-07-09 DOI: 10.3905/jod.2024.1.206
Zhenyu Cui, Chihoon Lee, Mingzhe Liu, Cai Wu
{"title":"VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion","authors":"Zhenyu Cui, Chihoon Lee, Mingzhe Liu, Cai Wu","doi":"10.3905/jod.2024.1.206","DOIUrl":"https://doi.org/10.3905/jod.2024.1.206","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":"48 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141663268","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exploiting the Gap Between Implied and Realized Volatility 利用隐含波动率与实际波动率之间的差距
The Journal of Derivatives Pub Date : 2024-03-18 DOI: 10.3905/jod.2024.1.202
Javdat Umarov, Eva Lütkebohmert, Roxana Halbleib
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引用次数: 0
Inferring the Implied Volatility of SOFR-Based Swaptions 推断基于 SOFR 的掉期隐含波动率
The Journal of Derivatives Pub Date : 2024-03-12 DOI: 10.3905/jod.2024.1.201
Meng‐Lan Yueh, Cho-Jui Wu
{"title":"Inferring the Implied Volatility of SOFR-Based Swaptions","authors":"Meng‐Lan Yueh, Cho-Jui Wu","doi":"10.3905/jod.2024.1.201","DOIUrl":"https://doi.org/10.3905/jod.2024.1.201","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":"62 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140250856","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Implied Willow Tree 隐含的柳树
The Journal of Derivatives Pub Date : 2024-01-05 DOI: 10.3905/jod.2024.1.200
Bing Dong, Wei Xu, Zhenyu Cui
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引用次数: 0
SOFR Term Rates from Treasury Repo Pricing 国债回购定价的SOFR期限利率
The Journal of Derivatives Pub Date : 2022-02-15 DOI: 10.3905/jod.2022.1.153
Wujiang Lou
{"title":"SOFR Term Rates from Treasury Repo Pricing","authors":"Wujiang Lou","doi":"10.3905/jod.2022.1.153","DOIUrl":"https://doi.org/10.3905/jod.2022.1.153","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":"47 1","pages":"83-97"},"PeriodicalIF":0.0,"publicationDate":"2022-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138495085","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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