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Dynamic, nonparametric hedging of European style contigent claims using canonical valuation
Alcock, Jamie; Gray, Philip K. - In: Finance research letters 2 (2005) 1, pp. 41-50
Persistent link: https://www.econbiz.de/10002685784
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A jump-diffusion approach to modelling vulnerable option pricing
Xu, Weidong; Xu, Weijun; Li, Hongyi; Xiao, Weilin - In: Finance research letters 9 (2012) 1, pp. 48-56
Persistent link: https://www.econbiz.de/10009575333
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A generalised arbitrage-free Nelson-Siegel model : the impact of unspanned stochastic volatility
Chen, Rui; Du, Ke - In: Finance research letters 10 (2013) 1, pp. 41-48
Persistent link: https://www.econbiz.de/10009728597
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A common jump factor stochastic volatility model
Laurini, Márcio Poletti; Mauad, Roberto Baltieri - In: Finance research letters 12 (2015), pp. 2-10
Persistent link: https://www.econbiz.de/10011551744
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Stochastic volatility and leverage : application to a panel of S&P500 stocks
Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76
Persistent link: https://www.econbiz.de/10011552253
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Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
Hu, Jun; Kanniainen, Juho - In: Finance research letters 14 (2015), pp. 1-10
Persistent link: https://www.econbiz.de/10011552564
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Quadratic hedging strategies for volatility swaps
Wang, Xingchun; Fu, Jianping; Wang, Guanying; Wang, Yongjin - In: Finance research letters 15 (2015), pp. 125-132
Persistent link: https://www.econbiz.de/10011553014
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Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
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Robust general equilibrium under stochastic volatility model
Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Finance research letters 7 (2010) 4, pp. 224-231
Persistent link: https://www.econbiz.de/10009272750
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Bayesian range-based estimation of stochastic volatility models
Brandt, Michael W.; Jones, Christopher S. - In: Finance research letters 2 (2005) 4, pp. 201-209
Persistent link: https://www.econbiz.de/10003219463