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An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives
Chen, Rui - 2014
volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives …
Persistent link: https://www.econbiz.de/10013045728
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Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853
Persistent link: https://www.econbiz.de/10014228463
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Skew-Brownian motion and pricing European exchange options
Pasricha, Puneet; He, Xin-Jiang - In: International review of financial analysis 82 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013426145
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A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013463145
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Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan; Zeng, Pingping; Kwok, Yue-Kuen - In: Operations research letters 51 (2023) 6, pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
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Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.; Callegaro, Giulia; Jacquier, Antoine - In: Quantitative finance 23 (2023) 12, pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
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Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
Han, Yuecai; Zhang, Fengtong - In: Review of derivatives research 27 (2024) 1, pp. 37-53
Persistent link: https://www.econbiz.de/10015133907
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Willow Tree Algorithms for Pricing VIX Derivatives Under Stochastic Volatility Models
Ma, Changfu - 2020
its instantaneous variance. Under the affine jump-diffusion formulation with stochastic volatility, analytic integral … futures and both European and American options under the affine model and 3/2-model. We also examine the implied volatility …
Persistent link: https://www.econbiz.de/10012847129
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A stochastic volatility model for the valuation of temperature derivatives
Alfonsi, Aurélien; Vadillo, Nerea - In: IMA journal of management mathematics 35 (2024) 4, pp. 737-785
Persistent link: https://www.econbiz.de/10015333096
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Jump risk implicit in options market
Chen, Qiang; Han, Yu; Huang, Ying; Jiang, George J. - 2025
Persistent link: https://www.econbiz.de/10015339175