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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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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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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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Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: Finance research letters 44 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014494891
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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
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Idiosyncratic volatility, returns, and mispricing : no real anomaly in sight
Zaremba, Adam; Czapkiewicz, Anna; Będowska-Sójka, Barbara - In: Finance research letters 24 (2018), pp. 163-167
Persistent link: https://www.econbiz.de/10011982555
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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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Uncertainty in systemic risks rankings : Bayesian and frequentist analysis
Goldman, Elena - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473601