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Stochastic volatility and jump-diffusion : implications on option pricing

Jiang, George J. - In: International journal of theoretical and applied finance 2 (1999) 4, pp. 381-407

Persistent link: https://www.econbiz.de/10001438710

Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities

Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 4, pp. 465-497

Persistent link: https://www.econbiz.de/10001256376

Testing option pricing models with stochastic volatility, random jump and stochastic interest rate

Jiang, George J. - In: International review of finance 3 (2002) 3/4, pp. 233-272

Persistent link: https://www.econbiz.de/10002504517

Stochastic volatility and option pricing

Jiang, George J. - In: Forecasting volatility in the financial markets, (pp. 131-171). 2007

Persistent link: https://www.econbiz.de/10003872887

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

Jiang, George J.; Sluis, Pieter J. van der - 1999

Persistent link: https://www.econbiz.de/10001432849

Index option pricing models with stochastic volatility and stochastic interest rates

Jiang, George J.; Sluis, Pieter J. van der - 2000

Persistent link: https://www.econbiz.de/10001473253

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

Persistent link: https://www.econbiz.de/10000986291

A generalized one-factor term structure model and pricing of interest rate derivative securities

Jiang, George J. - 1997

Persistent link: https://www.econbiz.de/10000968609

Index option pricing models with stochastic volatility and stochastic interest rates

Jiang, George J.; Sluis, Pieter J. van der - In: European finance review : the official journal of the … 3 (1999) 3, pp. 273-310

Persistent link: https://www.econbiz.de/10001653146

Option Pricing with the Efficient Method of Moments

Jiang, George J. - 2012

This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate...

Persistent link: https://www.econbiz.de/10013099985