Matches in SemOpenAlex for { <https://semopenalex.org/work/W2912591153> ?p ?o ?g. }
Showing items 1 to 75 of
75
with 100 items per page.
- W2912591153 endingPage "41" @default.
- W2912591153 startingPage "30" @default.
- W2912591153 abstract "The Schwartz (1997) two-factor model is the benchmark model for pricing futures options, and the volatility is constant, which is similar to the Black-Scholes model. In this paper, we use a similar method which can make the Black-Scholes model be a time-dependent volatility model to show that the time-dependent volatility is also valid in the Schwartz (1997) two-factor model. The time-dependent spot volatility results can be obtained easily and quickly in Matlab. We also explain why the time-dependent spot volatility results need to be tested theoretically and show how to ensure their correctness in both theory and practice." @default.
- W2912591153 created "2019-02-21" @default.
- W2912591153 creator A5031486782 @default.
- W2912591153 creator A5038754372 @default.
- W2912591153 creator A5041238635 @default.
- W2912591153 date "2019-01-02" @default.
- W2912591153 modified "2023-09-25" @default.
- W2912591153 title "Time-dependent volatility in futures contract options" @default.
- W2912591153 cites W1998610838 @default.
- W2912591153 cites W2089240053 @default.
- W2912591153 cites W2098470572 @default.
- W2912591153 cites W2133200991 @default.
- W2912591153 cites W2141185783 @default.
- W2912591153 cites W2141186877 @default.
- W2912591153 cites W2209731979 @default.
- W2912591153 cites W2539803353 @default.
- W2912591153 cites W2575178027 @default.
- W2912591153 cites W2591705695 @default.
- W2912591153 cites W3124191912 @default.
- W2912591153 cites W3125515276 @default.
- W2912591153 doi "https://doi.org/10.1080/10293523.2018.1560114" @default.
- W2912591153 hasPublicationYear "2019" @default.
- W2912591153 type Work @default.
- W2912591153 sameAs 2912591153 @default.
- W2912591153 citedByCount "2" @default.
- W2912591153 countsByYear W29125911532020 @default.
- W2912591153 countsByYear W29125911532023 @default.
- W2912591153 crossrefType "journal-article" @default.
- W2912591153 hasAuthorship W2912591153A5031486782 @default.
- W2912591153 hasAuthorship W2912591153A5038754372 @default.
- W2912591153 hasAuthorship W2912591153A5041238635 @default.
- W2912591153 hasBestOaLocation W29125911531 @default.
- W2912591153 hasConcept C106159729 @default.
- W2912591153 hasConcept C106306483 @default.
- W2912591153 hasConcept C117996083 @default.
- W2912591153 hasConcept C13290067 @default.
- W2912591153 hasConcept C149782125 @default.
- W2912591153 hasConcept C162324750 @default.
- W2912591153 hasConcept C163128081 @default.
- W2912591153 hasConcept C192620184 @default.
- W2912591153 hasConcept C24189920 @default.
- W2912591153 hasConcept C85393063 @default.
- W2912591153 hasConcept C91602232 @default.
- W2912591153 hasConceptScore W2912591153C106159729 @default.
- W2912591153 hasConceptScore W2912591153C106306483 @default.
- W2912591153 hasConceptScore W2912591153C117996083 @default.
- W2912591153 hasConceptScore W2912591153C13290067 @default.
- W2912591153 hasConceptScore W2912591153C149782125 @default.
- W2912591153 hasConceptScore W2912591153C162324750 @default.
- W2912591153 hasConceptScore W2912591153C163128081 @default.
- W2912591153 hasConceptScore W2912591153C192620184 @default.
- W2912591153 hasConceptScore W2912591153C24189920 @default.
- W2912591153 hasConceptScore W2912591153C85393063 @default.
- W2912591153 hasConceptScore W2912591153C91602232 @default.
- W2912591153 hasIssue "1" @default.
- W2912591153 hasLocation W29125911531 @default.
- W2912591153 hasOpenAccess W2912591153 @default.
- W2912591153 hasPrimaryLocation W29125911531 @default.
- W2912591153 hasRelatedWork W1506124811 @default.
- W2912591153 hasRelatedWork W1577501698 @default.
- W2912591153 hasRelatedWork W1974249788 @default.
- W2912591153 hasRelatedWork W2044887988 @default.
- W2912591153 hasRelatedWork W2062566995 @default.
- W2912591153 hasRelatedWork W2583052946 @default.
- W2912591153 hasRelatedWork W3122182668 @default.
- W2912591153 hasRelatedWork W3122819766 @default.
- W2912591153 hasRelatedWork W3140481161 @default.
- W2912591153 hasRelatedWork W3144124144 @default.
- W2912591153 hasVolume "48" @default.
- W2912591153 isParatext "false" @default.
- W2912591153 isRetracted "false" @default.
- W2912591153 magId "2912591153" @default.
- W2912591153 workType "article" @default.