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~isPartOf:"Applied quantitative finance series"
~isPartOf:"The journal of futures markets"
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Search: subject_exact:"Stochastic volatility model"
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Stochastic volatility
12
Stochastische Volatilität
12
Option pricing theory
8
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8
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4
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4
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Applied quantitative finance series
The journal of futures markets
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7
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1
The return-volatility relation in commodity futures markets
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 127-152
Persistent link: https://www.econbiz.de/10011568056
Saved in:
2
Stochastic skew and target volatility options
Grasselli, Martino
;
Romo, Jacinto Marabel
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 174-193
Persistent link: https://www.econbiz.de/10011568064
Saved in:
3
Empirical performance of commodity pricing models : when is it worthwhile to use a stochastic volatility specification?
Cortazar, Gonzalo
;
Gutierrez, Simon
;
Ortega, Hector
- In:
The journal of futures markets
36
(
2016
)
5
,
pp. 457-487
Persistent link: https://www.econbiz.de/10011568444
Saved in:
4
A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu
;
Guo, Jia-Hau
;
Hung, Mao-Wei
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 887-901
Persistent link: https://www.econbiz.de/10011568657
Saved in:
5
Heston-type stochastic volatility with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
;
Osakwe, …
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 902-919
Persistent link: https://www.econbiz.de/10011568671
Saved in:
6
SABR and SABR LIBOR market models in practice : with examples implemented in Python
Crispoldi, Christian
;
Wigger, Gérald
;
Larkin, Peter
-
2015
Persistent link: https://www.econbiz.de/10011374239
Saved in:
7
Executive stock option pricing in China under stochastic volatility
Chong, Terence Tai-Leung
;
Ding, Yue
;
Li, Yong
- In:
The journal of futures markets
35
(
2015
)
10
,
pp. 953-960
Persistent link: https://www.econbiz.de/10011392713
Saved in:
8
An approach to the option market model based on end-user net demand
Sasaki, Hiroshi
- In:
The journal of futures markets
35
(
2015
)
5
,
pp. 476-503
Persistent link: https://www.econbiz.de/10011405401
Saved in:
9
Derivatives pricing on integrated diffusion processes : a general perturbation approach
Li, Minqiang
- In:
The journal of futures markets
35
(
2015
)
6
,
pp. 582-595
Persistent link: https://www.econbiz.de/10011405411
Saved in:
10
Analytic approximation of finite-maturity timer option prices
Li, Minqiang
;
Mercurio, Fabio
- In:
The journal of futures markets
35
(
2015
)
3
,
pp. 245-273
Persistent link: https://www.econbiz.de/10011348432
Saved in:
11
Pricing multiasset cross-currency options
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
Saved in:
12
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
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