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Rough stochastic elasticity of variance and option pricing
Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
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Nonrandom price movements
Madan, Dilip B.; Wang, King - In: Finance research letters 17 (2016), pp. 103-109
Persistent link: https://www.econbiz.de/10011596246
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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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An idea of risk-neutral momentum and market fear
Schadner, Wolfgang - In: Finance research letters 37 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012484870
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Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
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Option pricing under regime switching : integration over simplexes method
Jang, Bong-Gyu; Tae, Hyeon-Wuk - In: Finance research letters 24 (2018), pp. 301-312
Persistent link: https://www.econbiz.de/10011982658
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Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
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Pricing discrete double barrier options under Lévy processes : an extension of the method by Milev and Tagliani
Xiao, Shuang; Ma, Shihua - In: Finance research letters 19 (2016), pp. 67-74
Persistent link: https://www.econbiz.de/10011657452
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Pricing power exchange options with correlated jump risk
Wang, Xingchun - In: Finance research letters 19 (2016), pp. 90-97
Persistent link: https://www.econbiz.de/10011657466
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A note on the Wang transform for stochastic volatility pricing models
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Finance research letters 19 (2016), pp. 189-196
Persistent link: https://www.econbiz.de/10011657622