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Risk-neutral modeling with affine and nonaffine models

Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681

Persistent link: https://www.econbiz.de/10010233868

Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …

Persistent link: https://www.econbiz.de/10011284060

Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model

Langrené, Nicolas; Lee, Geoffrey; Zhu, Zili - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37

Persistent link: https://www.econbiz.de/10011525109

Option pricing with orthogonal polynomial expansions

Ackerer, Damien; Filipović, Damir - 2017

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …

Persistent link: https://www.econbiz.de/10011870651

Application of Heston's model to the Chinese stock market

Liu, Guifang; Xu, Weijun - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1749-1763

Persistent link: https://www.econbiz.de/10011824755

Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode

Mollapourasl, Reza; Haghi, Majid; Heryudono, Alfa - In: The journal of computational finance 23 (2020) 5, pp. 33-73

Persistent link: https://www.econbiz.de/10012295864

Arbitrage free approximations to candidate volatility surface quotations

Madan, Dilip B.; Schoutens, Wim - In: Journal of risk and financial management : JRFM 12 (2019) 2/69, pp. 1-21

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

Persistent link: https://www.econbiz.de/10012022144

Implied volantility and state price density estimation : arbitrage analysis

Kopa, Miloš; Vitali, Sebastiano; Tichý, Tomáš; … - In: Computational Management Science : CMS 14 (2017) 4, pp. 559-583

Persistent link: https://www.econbiz.de/10011758973

Note on an extension of an asymptotic expansion scheme

Takahashi, Akihiko; Toda, Masashi - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-23

Persistent link: https://www.econbiz.de/10009783991

An application of nonparametric volatility estimators to option pricing

Kenmoe, Romuald N.; Sanfelici, Simona - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 393-412

Persistent link: https://www.econbiz.de/10010412432