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Search: subject:"Stochastic volatility models"
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Experiment
Volatilität
73
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72
Stochastischer Prozess
71
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69
Stochastic volatility models
56
stochastic volatility models
50
Optionspreistheorie
49
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48
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18
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16
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16
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16
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13
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12
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12
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11
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11
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9
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9
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option pricing
7
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6
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6
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15
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Alòs, Elisa
3
Arai, Takuji
2
Jacquier, Antoine
2
León, Jorge A.
2
Chen, Zhanyu
1
Ehrhardt, Matthias
1
Fatone, Lorella
1
Figueroa-López, José E.
1
Fonseca, José da
1
Gnoatto, Alessandro
1
Grasselli, Martino
1
Gulisashvili, Archil
1
Günther, Michael
1
Hendricks, Christian
1
Issaka, Aziz
1
Lagunas-Merino, Marc
1
Mariani, Francesca
1
Merino, Raúl
1
Pospíšil, Jan
1
Recchioni, Maria Cristina
1
Rheinländer, Thorsten
1
Shiraya, Kenichiro
1
Sircar, Kaushik Ronnie
1
Sobotka, Tomáš
1
Sturm, Stephan
1
Vives, Josep
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Wang, Xingchun
1
Ziegler, Philipp
1
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International journal of theoretical and applied finance
2
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2
The journal of computational finance
2
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1
Applied economics letters
1
Barcelona GSE working paper series : working paper
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Finance and stochastics
1
International journal of financial engineering
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ECONIS (ZBW)
15
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1
Deep learning-based option pricing for Barndorff-Nielsen and Shephard model
Arai, Takuji
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014444476
Saved in:
2
Pricing options on the maximum of two average prices under
stochastic
volatility
models
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
10
,
pp. 887-894
Persistent link: https://www.econbiz.de/10013411818
Saved in:
3
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
4
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011778056
Saved in:
5
Valuation, hedging, and bounds of swaps under multi-factor BNS-type
stochastic
volatility
models
Issaka, Aziz
- In:
Annals of financial economics
15
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012642967
Saved in:
6
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
Saved in:
7
An approximation method for pricing continuous barrier options under multi-asset local
stochastic
volatility
models
Shiraya, Kenichiro
- In:
International journal of theoretical and applied finance
23
(
2020
)
8
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496929
Saved in:
8
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
Saved in:
9
Robustness and sensitivity analyses for
stochastic
volatility
models
under uncertain data structure
Pospíšil, Jan
;
Sobotka, Tomáš
;
Ziegler, Philipp
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
6
,
pp. 1935-1958
Persistent link: https://www.econbiz.de/10012215941
Saved in:
10
Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
Hendricks, Christian
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011860891
Saved in:
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