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Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur
Hausmann, Wilfried - 2007
Persistent link: https://www.econbiz.de/10003635776
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The role of stochastic volatility and return jumps : reproducing volatility and higher moments in the KOSPI 200 returns dynamics
Kim, In-joon; Baek, In-Seok; Noh, Jaesun; Kim, Sol - In: Review of quantitative finance and accounting 29 (2007) 1, pp. 69-110
Persistent link: https://www.econbiz.de/10003600092
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Lévy processes driven by stochastic volatility
Chourdakis, Kyriakos - In: Asia-Pacific financial markets 12 (2005) 4, pp. 333-352
Persistent link: https://www.econbiz.de/10003496705
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On computing complete distributions for American and European standard and exotic options on stocks paying discrete dividends with applications to stochastic dominance analysis
Hodges, Paul E.; Haensly, Paul J.; Theis, John - In: Quarterly journal of business and economics : QJBE 46 (2007) 3, pp. 45-64
Persistent link: https://www.econbiz.de/10003547145
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A copula-based approach for generating lattices
Wang, Tianyang; Dyer, James S.; Hahn, Warren J. - In: Review of derivatives research 18 (2015) 3, pp. 263-289
Persistent link: https://www.econbiz.de/10011477303
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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.; Liu, Rui Hua; Nguyen, D. - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511
Persistent link: https://www.econbiz.de/10011499779