Jimmy E. Hilliard

Available identifiers

Publication	Date of Publication	Type
Bitcoin: jumps, convenience yields, and option prices	2022-11-18	Paper
An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects	2022-07-22	Paper
Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities	2021-12-01	Paper
Option pricing under short-lived arbitrage: theory and tests	2018-11-19	Paper
Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities	2014-09-05	Paper
Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators	2012-06-25	Paper
Pricing an option on revenue from an innovation: an application to movie box office revenue	2012-02-29	Paper
Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach	2007-10-09	Paper
Pricing a Class of American and European Path Dependent Securities	1996-08-05	Paper
The Time Domain Implications of Phase Angles and Tau	1976-01-01	Paper

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