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Joint characteristic function of stock log-price and squared volatility in the Bates model and its asset pricing applications
Zhylyevskyy, Oleksandr - In: Theoretical economics letters 2 (2012) 4, pp. 400-407
Persistent link: https://www.econbiz.de/10009745992
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Efficient pricing of European-style options under Heston's stochastic volatility model
Zhylyevskyy, Oleksandr - In: Theoretical economics letters 2 (2012) 1, pp. 16-20
Persistent link: https://www.econbiz.de/10009669467
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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
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Impact of idiosyncratic volatility on stock returns : a cross-sectional study
Khovansky, Serguey; Zhylyevskyy, Oleksandr - In: Journal of banking & finance 37 (2013) 8, pp. 3064-3075
Persistent link: https://www.econbiz.de/10009777131