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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Pricing currency call options
Abraham, Rebecca - In: Theoretical economics letters 8 (2018) 11, pp. 2271-2289
Persistent link: https://www.econbiz.de/10011911640
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Corrections in Heston model derivations for bond options
Mandal, Satrajit; Bhattacharya, Sujoy - In: International journal of bonds and derivatives 4 (2018) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10012253419
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High-order approximations to call option prices in the Heston model
Gulisashvili, Archil; Lagunas-Merino, Marc; Merino, Raúl; … - In: The journal of computational finance 24 (2020) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
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Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Feng, Yu; Rudd, Ralph; Baker, Christopher; Mashalaba, … - In: Risks : open access journal 9 (2021) 1/13, pp. 1-20
extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …
Persistent link: https://www.econbiz.de/10012422987
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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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Futures hedging with stochastic volatility : a new method
Alghalith, Moawia; Floros, Christos - In: International journal of computational economics and … 10 (2020) 2, pp. 203-207
Persistent link: https://www.econbiz.de/10012226719
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
Choi, Jaehyuk; Wu, Lixin - In: Quantitative finance 21 (2021) 7, pp. 1083-1086
Persistent link: https://www.econbiz.de/10012588019
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Option pricing using high-frequency futures prices
Degiannakis, Stavros; Floros, Christos; Poufinas, Thomas; … - In: Journal of risk 23 (2021) 4, pp. 81-101
Persistent link: https://www.econbiz.de/10012593448