No. 40-10, October 2020
Index
- A simple method for extracting the probability of default from American put option prices
- Dynamic programming for valuing American options under a variance‐gamma process
- Earnings announcement timing, uncertainty, and volatility risk premiums
- Enhancing managerial equity incentives with moving average payoffs
- Forecasting bitcoin volatility: Evidence from the options market
- Journal of Futures Markets: Volume 40, Number 10, October 2020
- Modeling VXX under jump diffusion with stochastic long‐term mean
- Night trading and market quality: Evidence from Chinese and US precious metal futures markets
- The sensitivity of trading to the cost of information
- When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests