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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
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Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
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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
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Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha; He, Xin-Jiang - In: Computational economics 59 (2022) 3, pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
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An expanded Local Variance Gamma model
Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching - In: Computational economics 56 (2020) 2, pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Bayesian testing for leverage effect in stochastic volatility models
Zhang, Jin-Yu; Chen, Zhong-Tian; Li, Yong - In: Computational economics 53 (2019) 3, pp. 1153-1164
Persistent link: https://www.econbiz.de/10012135124
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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248