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Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models

Pellegrino, Tommaso - In: Journal of mathematical finance 9 (2019) 3, pp. 455-493

Persistent link: https://www.econbiz.de/10012210363

Fast fourier transform based computation of American options under economic recession induced volatility uncertainty

Bankole, Philip Ajibola; Ugbebor, Olabisi O. - In: Journal of mathematical finance 9 (2019) 3, pp. 494-521

Persistent link: https://www.econbiz.de/10012210366

Quantization meets Fourier : a new technology for pricing options

Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino - In: Application of operations research to financial markets, (pp. 59-86). 2019

Persistent link: https://www.econbiz.de/10012157344

Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching

Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586

Persistent link: https://www.econbiz.de/10012134818

Semiparametric estimation of the bid-ask spread in extended roll models

Chen, Xiaohong; Linton, Oliver; Schneeberger, Stefan; … - In: Journal of econometrics 208 (2019) 1, pp. 160-178

Persistent link: https://www.econbiz.de/10012139826

Swing option pricing by dynamic programming with B-spline density projection

Kirkby, J. Lars; Deng, Shijie - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-53

Persistent link: https://www.econbiz.de/10012183215

On distributions of ratios

Broda, Simon A.; Kan, Raymond - 2013

those of a suitably defined difference of random variables. If in addition, the joint characteristic function of numerator …

Persistent link: https://www.econbiz.de/10010227300

Order monotonic solutions for generalized characteristic functions

Brink, René van den; González-Aranguena, Enrique; … - 2013

Persistent link: https://www.econbiz.de/10010191383

Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors

Broda, Simon A. - 2013

Persistent link: https://www.econbiz.de/10010191435

The Indirect Continuous-GMM Estimation

Kotchoni, Rachidi - HAL - 2013

A curse of dimensionality arises when using the Continuum-GMM procedure to estimate large dimensional models. Two solutions are proposed, both of which convert the high di- mensional model into a continuum of reduced information sets. Under certain regularity conditions, each reduced information...

Persistent link: https://www.econbiz.de/10010899926

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