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Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425

Computation of volatility in stochastic volatility models with high frequency data

Barucci, Emilio; Mancino, Maria Elvira - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 767-787

Persistent link: https://www.econbiz.de/10008904328

Regime-switching recombining tree for option pricing

Liu, Rui Hua - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 479-499

Persistent link: https://www.econbiz.de/10008904355

Utility maximization in affine stochastic volatility models

Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477

Persistent link: https://www.econbiz.de/10008904356

Exact pricing with stochastic volatility and jumps

D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929

Persistent link: https://www.econbiz.de/10008905110

A hybrid asymptotic expansion scheme : an application to long-term currency options

Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221

Persistent link: https://www.econbiz.de/10008906179

Asymptotic analysis for foreign exchange derivatives with stochastic volatility

Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147

Persistent link: https://www.econbiz.de/10008906191

Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model

Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1047-1063

Persistent link: https://www.econbiz.de/10008906216

Asymptotic arbitrage in the Heston model

Haba, Fatma; Jacquier, Antoine - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-18

Persistent link: https://www.econbiz.de/10011419412

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751