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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

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

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

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets

Rømer, Sigurd Emil - In: Quantitative finance 22 (2022) 10, pp. 1805-1838

Persistent link: https://www.econbiz.de/10013367949

An Iterative Method for Pricing American Options Under Jump-Diffusion Models

Salmi, Santtu; Toivanen, Jari - 2012

We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion...

Persistent link: https://www.econbiz.de/10014186631

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price Under Stochastic Volatility Model

Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro - 2014

certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed …

Persistent link: https://www.econbiz.de/10014162264

Volatility model applications in China's SSE50 options market

Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720

Persistent link: https://www.econbiz.de/10013465807