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An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model
Kilianová, Soňa; Letko, Boris - In: Risk and decision analysis 7 (2018) 1/2, pp. 51-62
Persistent link: https://www.econbiz.de/10011945645
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Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong; Fang, Shaomei; He, Yong - In: Computational economics 61 (2023) 4, pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
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An Orthogonal Series Expansions Method to Hedge and Price European-Type Options
Chan, Ron - 2017
volatility models. We provide a succinct error analysis to demonstrate that we can achieve an exponential convergence rate in the …
Persistent link: https://www.econbiz.de/10012967806
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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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European Option Pricing Under Fractional Brownian Motion with an Application to Realized Volatility
Morimoto, Takayuki - 2016
volatility (RV). The RV measure is selected because it uniquely exhibits simultaneous stationarity and long-range dependency …
Persistent link: https://www.econbiz.de/10013005273
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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Pricing derivatives with fractional volatility
Funahashi, Hideharu - In: International journal of financial engineering 4 (2017) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
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The Evaluation of Derivatives of Double Barrier Options of the Bessel Processes by Methods of Spectral Analysis
Burtnyak, Ivan - 2017
condition that the linear combination of the flow and its spatial derivative are taken into account. Such a presentation enables … us to calculate the market value of a share portfolio, provides the measurement of internal volatility in the market at …
Persistent link: https://www.econbiz.de/10012941438