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Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach

Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363

Persistent link: https://www.econbiz.de/10010357372

Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives

Pellegrino, Tommaso - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10012271009

Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market

Byström, Hans - 2000

This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for the volatility is estimated with...

Persistent link: https://www.econbiz.de/10013208410

Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market

Byström, Hans - Nationalekonomiska Institutionen, Ekonomihögskolan - 2000

Persistent link: https://www.econbiz.de/10005190591

Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models

Ding, Kailin; Cui, Zhenyu; Liu, Yanchu - In: The journal of futures markets 43 (2023) 12, pp. 1750-1769

Persistent link: https://www.econbiz.de/10014433005

Accelerated trinomial trees applied to American basket options and American options under the Bates model

O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72

Persistent link: https://www.econbiz.de/10011603176

Semi-analytical prices for lookback and barrier options under the Heston model

De Gennaro Aquino, Luca; Bernard, Carole - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 715-741

Persistent link: https://www.econbiz.de/10012127317

A multi time-scale theory of economic growth and cycles

Jacobo, Juan - In: Structural change and economic dynamics : SC+ED 62 (2022), pp. 143-155

Persistent link: https://www.econbiz.de/10013533824

Spectral study of options based on CEV model with multidimensional volatility

Burtnyak, Ivan; Malytska, Anna - In: Investment management and financial innovations 15 (2018) 1, pp. 18-25

Persistent link: https://www.econbiz.de/10012001314

Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities

Muck, Matthias - In: Review of Derivatives Research 25 (2022) 3, pp. 293-314

This paper addresses arbitrage-free FX smile construction from near-term implied volatility dynamics proposed by Carr (J Financ Econ, 120(1), 1–20, 2016). The approach is directly applicable to FX option market conventions. Prices of market benchmark contracts (risk reversals and butterflies)...

Persistent link: https://www.econbiz.de/10015193597