Volatility measures
- An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility ModelsJunmei Ma, Sihuan Huang and Wei XuThe Journal of Derivatives December 2019, jod.2019.1.092; DOI: https://doi.org/10.3905/jod.2019.1.092
- With Greater Uncertainty Comes Greater VolatilityInna Zorina, Jamie Khatri, Carol Zhu and James J. RowleyThe Journal of Index Investing November 2019, 10 (3) 6-14; DOI: https://doi.org/10.3905/jii.2019.1.077
- Leveraged Investment Products: Monthly Rebalancing Boosts Performance, but Tail Risk LoomsMatthew S. CrouseThe Journal of Index Investing November 2019, 10 (3) 58-69; DOI: https://doi.org/10.3905/jii.2019.1.074
- Returns to Option Strategies Following Class Action LawsuitsDean Diavatopoulos, Andy Fodor and Kevin KriegerThe Journal of Investing November 2019, 29 (1) 119-131; DOI: https://doi.org/10.3905/joi.2019.1.109
- Model Uncertainty and Pricing Performance in Option ValuationDennis Bams, Gildas Blanchard and Thorsten LehnertThe Journal of Derivatives November 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086
- Factor Investing in Currency Markets: Does It Make Sense?Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali XuThe Journal of Portfolio Management October 2019, jpm.2019.1.116; DOI: https://doi.org/10.3905/jpm.2019.1.116
- The Volatility Effect RevisitedDavid Blitz, Pim van Vliet and Guido BaltussenThe Journal of Portfolio Management October 2019, jpm.2019.1.114; DOI: https://doi.org/10.3905/jpm.2019.1.114
- Quadrinomial Trees to Value Options in Stochastic Volatility ModelsJulián A. Pareja-Vasseur and Freddy H. Marín-SánchezThe Journal of Derivatives August 2019, 27 (1) 49-66; DOI: https://doi.org/10.3905/jod.2019.1.076
- The Impact of Volatility TargetingCampbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison and Otto Van HemertThe Journal of Portfolio Management October 2018, 45 (1) 14-33; DOI: https://doi.org/10.3905/jpm.2018.45.1.014
- Shorting Leveraged ETF PairsChristopher Hessel, Jouahn Nam, Jun Wang, Cunyu Xing and Ge ZhangThe Journal of Trading March 2018, 13 (2) 69-79; DOI: https://doi.org/10.3905/jot.2018.13.2.069
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