No. 38-8, August 2018
Index
- A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process
- Call options with concave payoffs: An application to executive stock options
- Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing
- Journal of Futures Markets: Volume 38, Number 8, August 2018
- Market uncertainty and market orders in futures markets
- Modeling VXX
- Short‐selling and credit default swap spreads—Where do informed traders trade?
- The effect of settlement rules on the incentive to Bang the Close
- Volatility jumps and macroeconomic news announcements