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Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order

Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632

Persistent link: https://www.econbiz.de/10009710479

On spread option pricing using two-dimensional fourier transform

Alfeus, Mesias; Schlögl, Erik - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-20

Persistent link: https://www.econbiz.de/10012153028

A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps

Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: Applied mathematical finance 14 (2007) 5, pp. 365-399

Persistent link: https://www.econbiz.de/10003637449

Equity-linked pension schemes with guarantees

Aase Nielsen, Jørgen; Sandmann, Klaus; Schlögl, Erik - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 547-564

Persistent link: https://www.econbiz.de/10009404671

A multicurrency extension of the lognormal interest rate market models

Schlögl, Erik - In: Finance and stochastics 6 (2002) 2, pp. 173-196

Persistent link: https://www.econbiz.de/10001662467

Pricing of long-dated commodity derivatives : do stochastic interest rates matter?

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166

Persistent link: https://www.econbiz.de/10011966734

Quantifying the model risk inherent in the calibration and recalibration of option pricing models

Feng, Yu; Rudd, Ralph; Baker, Christopher; Mashalaba, … - In: Risks : open access journal 9 (2021) 1/13, pp. 1-20

extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …

Persistent link: https://www.econbiz.de/10012422987

SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates

Brace, Alan; Gellert, Karol; Schlögl, Erik - In: The journal of futures markets 44 (2024) 6, pp. 936-985

Persistent link: https://www.econbiz.de/10014536708

Analysing quantiles in models of forward term rates

McWalter, Thomas A.; Schlögl, Erik; Van Appel, Jacques - In: Risks : open access journal 11 (2023) 2, pp. 1-18

The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of...

Persistent link: https://www.econbiz.de/10014233216