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Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Variance swaps with mean reversion and multi-factor variance
Wu, Bin; Chen, Pengzhan; Ye, Wuyi - In: European journal of operational research : EJOR 315 (2024) 1, pp. 191-212
Persistent link: https://www.econbiz.de/10014562821
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Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
Kirkby, J. Lars - In: European journal of operational research : EJOR 305 (2023) 2, pp. 961-978
Persistent link: https://www.econbiz.de/10013482166
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Discrete time modeling of mean-reverting stochastic processes for real option valuation
Hahn, Warren J.; Dyer, James S. - In: European journal of operational research : EJOR 184 (2008) 2, pp. 534-548
Persistent link: https://www.econbiz.de/10003768285
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Computing option price for Levy process with fuzzy parameters
Nowak, Piotr; Romaniuk, Maciej - In: European journal of operational research : EJOR 201 (2010) 1, pp. 206-210
Persistent link: https://www.econbiz.de/10003975446
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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Arithmetic Brownian motion and real options
Alexander, David Richard; Mo, Mengjia; Stent, Alan Fraser - In: European journal of operational research : EJOR 219 (2012) 1, pp. 114-122
Persistent link: https://www.econbiz.de/10009511688
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Commodity derivatives pricing with cointegration and stochastic covariances
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 246 (2015) 2, pp. 476-486
Persistent link: https://www.econbiz.de/10011338124
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Optimizing bounds on security prices in incomplete markets : does stochastic volatility specification matter?
Marroquín-Martínez, Naroa; Moreno, Manuel - In: European journal of operational research : EJOR 225 (2013) 3, pp. 429-442
Persistent link: https://www.econbiz.de/10009706918