Similar Search Results

Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)

Dinarzehi, Khadijeh; Shahiki Tash, Mohammad Nabi - In: Iranian economic review : journal of University of Tehran 26 (2022) 2, pp. 369-388

Persistent link: https://www.econbiz.de/10013365654

A neural network versus black-scholes : a comparison of pricing and hedging performances

Amilon, Henrik - 2001

Persistent link: https://www.econbiz.de/10001567691

Empirical assessment of an intertemporal option pricing model with latent variables

Garcia, René; Luger, Richard; Renault, Eric - 2001

Persistent link: https://www.econbiz.de/10001614493

Asymmetric smiles, leverage effects and structural parameters

Garcia, René; Luger, Richard; Renault, Eric - 2001

Persistent link: https://www.econbiz.de/10001614502

Simple approximations for option pricing under mean reversion and stochastic volatility

Hafner, Christian M. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001784022

Bayesian forecasting of options prices : a natural framework for pooling historical and implied volatility information

Darsinos, Theofanis (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001626634

Pricing Australian S&P200 options : a Bayesian approach based on generalized distributional forms

Flynn, David B.; Grose, Simone D.; Martin, Gael M.; … - 2003

Persistent link: https://www.econbiz.de/10001751171

Behavioral preferences for individual securities : the case for call warrants and call options

Horst, Jenke R. ter (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001718078

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Persistent link: https://www.econbiz.de/10001884326

Arbitrage-free smoothing of the implied volatility surface

Fengler, Matthias R. (contributor) - 2005

The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition probabilities and/ or negative local...

Persistent link: https://www.econbiz.de/10003036579