Similar Search Results

Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216

Persistent link: https://www.econbiz.de/10010529630

Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011523819

Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform

Tassinari, Gian Luca; Bianchi, Michele Leonardo - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10010391513

Volatility risk structure for options depending on extrema

Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122

Persistent link: https://www.econbiz.de/10011848359

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...

Persistent link: https://www.econbiz.de/10012484130

Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank

Hofmann, Maurice; Rottmann, Horst - 2016

Dieser Aufsatz beschäftigt sich mit der fairen Bewertung einer von der Deutschen Bank AG emittierten Aktienanleihe mit Barriere, die als 'Easy-Aktienanleihe' (ISIN: DE000XM6XYZ2) am Markt angeboten wird. Da Aktienanleihen mit Barriere strukturierte Produkte sind, zerlegen wir diese hierfür in...

Persistent link: https://www.econbiz.de/10011431345

Index option market activity and cash market volatility under different market conditions : an empirical study from Sweden

Hagelin, Niclas - In: Empirical essays on financial markets, firms, and derivates, (pp. 11-41). 2000

Persistent link: https://www.econbiz.de/10001509964

Volatilitás-kereskedés az opciós piacon

Zsembery, Levente - In: Bankszemle : a bankok és a pénzintézetek szakfolyóirata 43 (1999) 2, pp. 30-44

Persistent link: https://www.econbiz.de/10001515104

Risk value analysis of covered short call and protective put portfolio strategies

Adam, Michael; Maurer, Raimond - In: Finanzmarkt und Portfolio-Management 13 (1999) 4, pp. 431-449

Persistent link: https://www.econbiz.de/10001517964

Implied volatility functions : a reprise

Rosenberg, Joshua V. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 51-64

Persistent link: https://www.econbiz.de/10001497758