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A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
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Option pricing with heavy-tailed distributions of logarithmic returns
Basnarkov, Lasko; Stojkoski, Viktor; Utkovski, Zoran; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012153313
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Efficient piecewise trees for the generalized Skew Vasicek model with discontinuous drift
Zhuo, Xiaoyang; Menoukeu-Pamen, Olivier - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10011687043
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Option pricing based on a log-skew-normal mixture
Jiménez, José Alfredo; Arunachalam, V.; Serna, G. M. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-22
Persistent link: https://www.econbiz.de/10011418885
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Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
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A simple time-consistent model for the forward density process
Hult, Henrik; Lindskog, Filip; Nykvist, Johan - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-29
Persistent link: https://www.econbiz.de/10010243619
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Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas; Lee, Geoffrey; Zhu, Zili - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
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Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent; Dao, Tung-Lam; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
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Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.; Hamada, Ahmed S. - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009562159