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Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes

Echenim, Mnacho; Gobet, Emmanuel; Maurice, Anne-Claire - In: Quantitative finance 23 (2023) 9, pp. 1285-1304

Persistent link: https://www.econbiz.de/10014339922

Joint pricing of VIX and SPX options with stochastic volatility and jump models

Kokholm, Thomas; Stisen, Martin - In: Journal of risk finance : the convergence of financial … 16 (2015) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10010513370

Implied and local volatility surfaces for South African index and foreign exchange options

Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82

volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …

Persistent link: https://www.econbiz.de/10011552872

Calibration risk : illustrating the impact of calibration risk under the Heston model

Guillaume, Florence; Schoutens, Wim - In: Review of derivatives research 15 (2012) 1, pp. 57-79

Persistent link: https://www.econbiz.de/10009627433

American option pricing under the double Heston model based on asymptotic expansion

Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226

Persistent link: https://www.econbiz.de/10012194649

Options valuation and calibration for leveraged exchange-traded funds with Heston-Nandi and inverse Gaussian GARCH models

Cao, Hongkai; Chatterjee, Rupak; Cui, Zhenyu - In: International journal of financial engineering 6 (2019) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10012314515

About long-term cross-currency Bermuda swaption pricing

Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262

Persistent link: https://www.econbiz.de/10012272028

The CTMC–Heston model : calibration and exotic option pricing with SWIFT

Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114

Persistent link: https://www.econbiz.de/10012544164

Collocating volatility : a competitive alternative to stochastic local volatility models

Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42

Persistent link: https://www.econbiz.de/10012496758

A scaled version of the double-mean-reverting model for VIX derivatives

Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon - In: Mathematics and financial economics 12 (2018) 4, pp. 495-515

Persistent link: https://www.econbiz.de/10011963875