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Search: subject:"3/2 model"
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3/2 model
11
Stochastic process
8
Stochastischer Prozess
8
Option pricing theory
7
Optionspreistheorie
7
Derivat
6
Derivative
6
Volatility
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5
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Maximum likelihood estimation
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exact simulation
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maximum likelihood estimation
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stochastic volatility
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3/2 Model
1
3/2-model
1
Brownian winding
1
CAPM
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Hermite series
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Badran, Alexander
2
Baldeaux, Jan
2
Fergusson, Kevin
2
Platen, Eckhard
2
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1
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1
Cui, Zhenyu
1
Florescu, Ionuţ
1
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1
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1
Tong, Zhigang
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Applied mathematical finance
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ECONIS (ZBW)
11
RePEc
2
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1
Polar coordinates for the 3/2 stochastic volatility model
Nekoranik, Paul
- In:
Mathematical finance : an international journal of …
35
(
2025
)
3
,
pp. 708-723
Persistent link: https://www.econbiz.de/10015460605
Saved in:
2
Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Saved in:
3
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344233
Saved in:
4
On the calibration of the
3/2
model
Gudmundsson, Hilmar
;
Vyncke, David
- In:
European journal of operational research : EJOR
276
(
2019
)
3
,
pp. 1178-1192
Persistent link: https://www.econbiz.de/10012003744
Saved in:
5
VIX derivatives valuation and estimation based on closed-form series expansions
Zhao, Zhe
;
Cui, Zhenyu
;
Florescu, Ionuţ
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011923012
Saved in:
6
Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
Baldeaux, Jan
;
Badran, Alexander
-
Finance Discipline Group, Business School
-
2012
to be performed. In the case of the pure-diffusion
3/2
model
, the dynamics are rich enough to capture the observed upward …
Persistent link: https://www.econbiz.de/10010616506
Saved in:
7
Modelling VIX and VIX derivatives with reducible diffusions
Tong, Zhigang
- In:
International journal of bonds and derivatives
3
(
2017
)
2
,
pp. 153-175
Persistent link: https://www.econbiz.de/10011807776
Saved in:
8
Pricing timer options and variance derivatives with closed-form partial transform under the
3/2
model
Zheng, Wendong
;
Zeng, Pingping
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
Saved in:
9
In-arrears interest rate derivatives under the
3/2
model
Goard, Joanna
- In:
Modern economy
6
(
2015
)
6
,
pp. 707-716
Persistent link: https://www.econbiz.de/10011384559
Saved in:
10
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin
;
Platen, Eckhard
- In:
Annals of financial economics
10
(
2015
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011408524
Saved in:
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