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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian; Zou, Yihan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
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Fractional Barndorff-Nielsen and Shephard model : applications in variance and volatility swaps, and hedging
Salmon, Nicholas; SenGupta, Indranil - In: Annals of finance 17 (2021) 4, pp. 529-558
Persistent link: https://www.econbiz.de/10012664151
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Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
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Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos; Panz, Sven; Zagst, Rudi - In: The journal of computational finance 24 (2020) 2, pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
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Valuation of options under a constant elasticity of variance process and stochastic volatility
AbaOud, Mohammed A. - In: Quantitative finance 21 (2021) 8, pp. 1301-1307
Persistent link: https://www.econbiz.de/10012608648
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Optimal volatility dependent derivatives in the stochastic volatility model
Dyachenko, Artem; Rieger, Marc Oliver - In: The journal of derivatives : JOD 28 (2021) 4, pp. 24-44
Persistent link: https://www.econbiz.de/10012612918
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Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter; Itkin, Andrey - In: The journal of derivatives : JOD 29 (2021) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
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Option pricing under multifractional Brownian motion in a risk neutral framework
Di Sciorio, Fabrizio; Mattiozzi, Silvia - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 3, pp. 273-283
Persistent link: https://www.econbiz.de/10012618054
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Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu - In: Journal of econometrics 222 (2021) 1,2, pp. 364-392
Persistent link: https://www.econbiz.de/10012619431