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Leverage effect, volatility feedback, and self-exciting market disruptions

Carr, Peter; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 2119-2156

Persistent link: https://www.econbiz.de/10011928991

Stock price default boundary : a Black-Cox model approach

Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013455157

Market co-movement between credit default swap curves and option volatility surfaces

Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013426474

Numerical construction of a hedging strategy against the multi-asset European claim

Milʹstejn, Grigorij N. (contributor); … - 1999 - [Elektronische Ressource]

For evaluating a hedging strategy we have to know at every instant the solution of the Cauchy problem for a parabolic equation (the value of the hedging portfolio) and its derivatives (the deltas). We suggest to find these magnitudes by Monte Carlo simulation of the corresponding system of...

Persistent link: https://www.econbiz.de/10001544443

Localization and exact simulation of Brownian motion-driven stochastic differential equations

Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616

Persistent link: https://www.econbiz.de/10009787357

A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)

Rabinovitz, Yedidya - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-22

Persistent link: https://www.econbiz.de/10011778269

A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837

Persistent link: https://www.econbiz.de/10012313518

Kolmogorov backward equations with singular diffusion matrices

Singer, Hermann - 2019

Persistent link: https://www.econbiz.de/10012149431

Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes

Krasin, Vladislav Y.; Smirnov, Ivan; Melʹnikov, … - In: Annals of finance 14 (2018) 2, pp. 195-209

Persistent link: https://www.econbiz.de/10011945591

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions

Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67

Persistent link: https://www.econbiz.de/10012424632