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Extracting market information from equity options with exponential Lévy processes. (2014). Fabozzi, Frank ; Leccadito, Arturo ; Tunaru, Radu S..
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:38:y:2014:i:c:p:125-141.

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  1. Extending the Merton model with applications to credit value adjustment. (2023). Sensoy, Ahmet ; Fabozzi, Frank J ; Hekimoglu, Alper A ; Akyildirim, Erdinc.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:326:y:2023:i:1:d:10.1007_s10479-023-05289-3.

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  2. The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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  3. Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina. (2021). Pesce, Gabriela ; Milanesi, Gaston ; Chavez, Etelvina Stefani.
    In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance).
    RePEc:imx:journl:v:16:y:2021:i:1:a:8.

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  4. Risk premia in electricity derivatives markets. (2021). Leccadito, Arturo ; Algieri, Bernardina ; Tunaru, Diana.
    In: Energy Economics.
    RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100205x.

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  5. Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel.
    In: Working Papers REM.
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  6. Analyzing the financial crisis using the entropy density function. (2015). Oh, Gabjin ; Kwak, Wooseop ; Ahn, Seok-Won ; Kim, Ho-Yong .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:419:y:2015:i:c:p:464-469.

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