Abstract
No public abstract is available from the verified source records.
Open public full textRights: UNKNOWN · https://www.elsevier.com/tdm/userlicense/1.0/ · Source: journal-auto-sync:external:CROSSREF_ISSN
Nicolas P.B. Bollen, Stephen F. Gray, Robert E. Whaley
Abstract
Rights: UNKNOWN · https://www.elsevier.com/tdm/userlicense/1.0/ · Source: journal-auto-sync:external:CROSSREF_ISSN
Authors
Institutions
No ROR-resolved institution is linked to this work yet.
Provenance
crossref
Confidence 100%
unpaywall
Confidence 95%
datacite
Confidence 0%
No local reference links have been materialized yet.
No local citing links have been materialized yet.
Unresolved referenced work
1985
Efficient analytic approximation of American option values
10.2307/2328254 · 1987
Testing option pricing models
10.1016/s0169-7161(96)14022-0 · 1996
On biases in the measurement of foreign exchange risk premiums
10.1016/0261-5606(93)90019-8 · 1993
The valuation of currency options
10.2307/3664834 · 1983
The pricing of options and corporate liabilities
10.1086/260062 · 1973
Unresolved referenced work
Kept as external metadata until matched
Generalized autoregressive conditional heteroskedasticity
10.1016/0304-4076(86)90063-1 · 1986
Option valuation using a three jump process
1986
A Markov model of unconditional variance in ARCH
10.2307/1392087 · 1994
Option pricing
10.1016/0304-405x(79)90015-1 · 1979
Unresolved referenced work
Kept as external metadata until matched
Regime-switching with time-varying transition probabilities
1994
The distribution of exchange rates in the EMS
10.1002/(sici)1099-1158(199601)1:1<55::aid-ijfe5>3.0.co;2-c · 1996
Long swings in the dollar
1990
Autoregressive conditional heteroskedasticity with estimates of UK inflation
10.2307/1912773 · 1982
Implied ARCH models from option prices
10.1016/0304-4076(92)90074-2 · 1992
Unresolved referenced work
Kept as external metadata until matched
Business cycle phases and their transitional dynamics
10.2307/1392086 · 1994
Asymptotic null distribution of the likelihood ratio test in Markow-switching models
10.2307/2527399 · 1998
Foreign currency option values
10.1016/s0261-5606(83)80001-1 · 1983
On the relation between the expected value and the volatility of the nominal excess return on stocks
10.2307/2329067 · 1993
The pricing of call and put options on foreign exchange
10.1016/s0261-5606(83)80002-3 · 1983
Modeling the conditional distribution of interest rates as a regime-switching process
10.1016/0304-405x(96)00875-6 · 1996
Option prices and the underlying asset's return distribution
10.2307/2328553 · 1991
Rational expectations econometric analysis of changes in regime: an investigation of the term structure of interest rates
10.1016/0165-1889(88)90047-4 · 1988
A new approach to the economic analysis of nonstationary time series and the business cycle
10.2307/1912559 · 1989
Analysis of time series subject to changes in regime
10.1016/0304-4076(90)90093-9 · 1990
Unresolved referenced work
1994
Autoregressive conditional heteroskedasticity and changes in regime
10.1016/0304-4076(94)90067-1 · 1994
The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP
10.1002/jae.3950070506 · 1992
The pricing of options on assets with stochastic volatility
10.2307/2328253 · 1987
Statistical tests of contingent-claims asset-pricing models: a new methodology
10.1016/0304-405x(86)90009-7 · 1986
Implementing option pricing formulas when asset returns are predictable
10.2307/2329240 · 1995
The theory of rational option pricing
10.2307/3003143 · 1973
Option valuation and hedging strategies with jumps in the volatility of asset returns
10.2307/2329076 · 1993
Conditional heteroskedasticity in asset returns
10.2307/2938260 · 1990
Valuation of American call options on dividend-paying stocks
10.1016/0304-405x(82)90029-0 · 1982
Valuation of American futures options
10.2307/2328348 · 1986
Maximum likelihood estimation of misspecified models
10.2307/1912526 · 1982
No additional external references are available.