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Non-affine option pricing

Chourdakis, Kyriakos - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 10-25

Persistent link: https://www.econbiz.de/10002007114

Lévy processes driven by stochastic volatility

Chourdakis, Kyriakos - In: Asia-Pacific financial markets 12 (2005) 4, pp. 333-352

Persistent link: https://www.econbiz.de/10003496705

Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains

Chourdakis, Kyriakos - School of Economics and Finance, Queen Mary - 2000

This paper considers a model where there is a single state variable that drives the state of the world and therefore the asset price behavior. This variable evolves according to a multi-state continuous time Markov chain, as the continuous time counterpart of the Hamilton (1989) model. It...

Persistent link: https://www.econbiz.de/10005106423

Lévy processes driven by stochastic volatility

Chourdakis, Kyriakos - In: Asia-Pacific Financial Markets 12 (2005) 4, pp. 333-352

Persistent link: https://www.econbiz.de/10005727038

Maximum likelihood estimation of non-affine volatility processes

Chourdakis, Kyriakos; Dotsis, George - In: Journal of empirical finance 18 (2011) 3, pp. 533-545

Persistent link: https://www.econbiz.de/10009302070

Are regime-shift sources of risk priced in the market?

Chourdakis, Kyriakos; Dendramis, Yiannis; Tzavalis, Elias - In: Journal of empirical finance 28 (2014), pp. 151-170

Persistent link: https://www.econbiz.de/10011285074