Search Results - subject:"Volatility Model"

Alternative tilts for nonparametric option pricing

Haley, M. Ryan; Walker, Todd B. - In: The journal of futures markets 30 (2010) 10, pp. 983-1006

Persistent link: https://www.econbiz.de/10008900930

Computation of volatility in stochastic volatility models with high frequency data

Barucci, Emilio; Mancino, Maria Elvira - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 767-787

Persistent link: https://www.econbiz.de/10008904328

Regime-switching recombining tree for option pricing

Liu, Rui Hua - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 479-499

Persistent link: https://www.econbiz.de/10008904355

Utility maximization in affine stochastic volatility models

Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477

Persistent link: https://www.econbiz.de/10008904356

Exact pricing with stochastic volatility and jumps

D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929

Persistent link: https://www.econbiz.de/10008905110

A hybrid asymptotic expansion scheme : an application to long-term currency options

Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221

Persistent link: https://www.econbiz.de/10008906179

Asymptotic analysis for foreign exchange derivatives with stochastic volatility

Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147

Persistent link: https://www.econbiz.de/10008906191

Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model

Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1047-1063

Persistent link: https://www.econbiz.de/10008906216

Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokoiny, Vladimir G. - 2001

Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes arises from the high dimensionality implied by a...

Persistent link: https://www.econbiz.de/10010310365

Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokoiny, Vladimir G. - Sonderforschungsbereich 373, Quantifikation und … - 2001

Persistent link: https://www.econbiz.de/10010983787