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Option valuation and hedging in markets with a crunch
6 references·0 citing·28 second hop
Option valuation and hedging in markets with a crunch (2017)Option valuation and hedging in markets w…On the relationship between implied volatility index and equity index returns (2015)On the relationship between i…APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY (2012)APPLICATION OF FLOCKING MECHA…Power-law relaxation in a complex system: Omori law after a financial market crash (2003)Power-law relaxation in a com…Valuation of a European futures option in the BIFFEX market (1998)Valuation of a European futur…Nonlinearities and chaotic effects in options prices (1989)Nonlinearities and chaotic ef…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Nonlinear Dynamics and Stock Returns (1989)The economy as an evolving complex system (1991)Testing for nonlinear dependence in daily stock indices (1992)A test for independence based on the correlation dimension (1996)Comparing the forecasting performance of neural networks and forward exchange rates (1997)Modeling nonlinear dynamics of daily futures price changes (1999)A Simple Model of Herd Behavior (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A mathematical model for volatility flocking with a regime switching mechanism in a stock market (2015)Stochastic evolutionary differential games toward a systems theory of behavioral social dynamics (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Stock returns and the weekend effect (1980)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting Volatility in Financial Markets: A Review (2003)Investors’ fear and stock returns: Evidence from National Stock Exchange of India (2018)Generalized autoregressive conditional heteroskedasticity (1986)The Pricing of Options on Assets with Stochastic Volatilities (1987)Power Laws in Economics and Finance (2008)How Markets Slowly Digest Changes in Supply and Demand (2009)Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws (2010)The Econometrics of Financial Markets (2012)A new perspective on price dynamics of the dry bulk market (2003)Risk Management in Commodity Markets (2009)Trading volume and volatility in the shipping forward freight market (2012)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2003Power-law relaxation in a complex system: Omori law after a financial market crash147 cited
  • 2012APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY46 cited
  • 1989Nonlinearities and chaotic effects in options prices38 cited
  • 1998Valuation of a European futures option in the BIFFEX market31 cited
  • 2015On the relationship between implied volatility index and equity index returns18 cited

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