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Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594

Persistent link: https://www.econbiz.de/10010500871

Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?

Romo, Jacinto Marabel - In: Review of derivatives research 19 (2016) 1, pp. 65-83

Persistent link: https://www.econbiz.de/10011742281

A stochastic correlation model with time change for pricing credit spread options

Tong, Zhigang; Liu, Allen - In: Journal of mathematical finance 7 (2017) 2, pp. 445-466

Persistent link: https://www.econbiz.de/10011673996

Exchange options and spread options with stochastically correlated underlyings

Wang, Xingchun - In: Applied economics letters 29 (2022) 12, pp. 1060-1068

Persistent link: https://www.econbiz.de/10013412038

Markov-Modulated and Shifted Wishart processes with applications in derivatives pricing

Faraz, Behzad-Hussein Azadie; Arian, Hamid; Escobar, Marcos - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-31

volatility and correlation. These features tend to increase substantially during crisis periods, more than predicted by a Wishart …

Persistent link: https://www.econbiz.de/10015435445

Non-uniqueness of best-of option prices under basket calibration

Ahnouch, Mohammed; Elaachak, Lotfi; Ghadi, Abderrahim - In: Risks : open access journal 13 (2025) 6, pp. 1-14

additional market instruments beyond basket options are mathematically necessary for robust exotic derivative pricing. …

Persistent link: https://www.econbiz.de/10015436527

New modifications of express certificates on two assets

Soltes, Vincent; Timkova, Monika; Gicova, Veronika - In: Montenegrin journal of economics 15 (2019) 4, pp. 113-129

Persistent link: https://www.econbiz.de/10012264628

First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

An Orthogonal Series Expansions Method to Hedge and Price European-Type Options

Chan, Ron - 2017

Closed-form pricing formulae and option Greeks are obtained for European-type options using an orthogonal polynomial series -- complex Fourier series. We assume that risky assets are driven by exponential Lévy processes and stochastic volatility models. We provide a succinct error analysis to...

Persistent link: https://www.econbiz.de/10012967806

Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Lundbeck Option Call Option Contract Using the Brownian Motion

Guirguis, Michel - 2019

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...

Persistent link: https://www.econbiz.de/10012890737