Time-dependent volatility in futures contract options-Reference-Cited by-同舟云学术

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Time-dependent volatility in futures contract options

Published:2019-01-02 Issue:1 Volume:48 Page:30-41
ISSN:1029-3523
Container-title:Investment Analysts Journal
language:en
Short-container-title:Investment Analysts Journal

Author:

Chen Jilong¹,Ewald Christian²,Kutan Ali M.³

Affiliation:

1. International Business School, School of Finance, Zhejiang Gongshang University, Hangzhou 310018, Zhejiang, China

2. University of Glasgow, Adam Smith Business School, Department of Economics, Gilbert Scott Building, Glasgow, UK

3. Business School, Department of Economics and Finance, Southern Illinois University, Edwardsville, USA

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/10293523.2018.1560114

Reference16 articles.

1. Time Dependent Heston Model

2. Stochastic Convenience Yield and the Pricing of Oil Contingent Claims

3. Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Practical Monte Carlo Method for Pricing Equity-Linked Securities with Time-Dependent Volatility and Interest Rate;Computational Economics;2023-04-30

2. Study on the Relation between Tailing Particle Size and Tailing Slurry Underflow Concentration;Advances in Civil Engineering;2022-01-17

3. Effects of commodity exchange-traded note introductions: Adjustment for seasonality;Borsa Istanbul Review;2020-09

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