Narrow search
Showing 61 - 70 of 80
Cover Image
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum; Kim, Jeong-Hoon; Kim, See-Woo - In: Computational economics 57 (2021) 4, pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
Cover Image
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Cover Image
An approximation scheme for option pricing under two-state continuous CAPM
Safdari-Vaighani, Ali; Ahmadian, Davood; Javid-Jahromi, Roja - In: Computational economics 57 (2021) 4, pp. 1373-1385
Persistent link: https://www.econbiz.de/10012543380
Cover Image
Volatility analysis of financial agent-based market dynamics from stochastic contact system
Xiao, Di; Wang, Jun; Niu, Hongli - In: Computational economics 48 (2016) 4, pp. 607-625
Persistent link: https://www.econbiz.de/10011712544
Cover Image
Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike; Hainaut, Donatien - In: Annals of finance 20 (2024) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10014566365
Cover Image
A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent volatility and interest rate
Kim, Sangkwon; Lyu, Jisang; Lee, Wonjin; Park, Eunchae; … - In: Computational economics 63 (2024) 5, pp. 2069-2086
Persistent link: https://www.econbiz.de/10014550869
Cover Image
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
Cover Image
Pricing a specific equity index annuity in a regime-switching Lévy model with jump
Wang, Yayun - In: Computational economics 61 (2023) 3, pp. 1115-1135
Persistent link: https://www.econbiz.de/10014252150
Cover Image
Delta-hedging in fractional volatility models
Zhao, Qi; Chronopoulou, Alexandra - In: Annals of finance 19 (2023) 1, pp. 119-140
Persistent link: https://www.econbiz.de/10014253877
Cover Image
An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang; Lin, Sha - In: Computational economics 60 (2022) 4, pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445