No. 42-12, December 2022
Index
- A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model
- Bitcoin futures risk premia
- Forecasting realized volatility: New evidence from time‐varying jumps in VIX
- Forecasting variance swap payoffs
- Journal of Futures Markets: Volume 42, Number 12, December 2022
- Piecewise linear boundary crossing probabilities, barrier options, and variable annuities
- Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets
- Understanding intraday momentum strategies