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Filtering and identification of Heston's stochastic volatility model and its market risk
Aihara, ShinIchi; Bagchi, Arunabha - In: Journal of economic dynamics & control 30 (2006) 12, pp. 2363-2388
Persistent link: https://www.econbiz.de/10003395572
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Consistent modeling of S&P 500 and VIX derivatives
Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2302-2319
Persistent link: https://www.econbiz.de/10009008878
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Jump and volatility risk premiums implied by VIX
Duan, Jin-Chuan; Yeh, Chung-ying - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2232-2244
Persistent link: https://www.econbiz.de/10009008897
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Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"
Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 36 (2012) 5, pp. 716-718
Persistent link: https://www.econbiz.de/10009554307
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Consistent modeling of S&P 500 and VIX derivatives : a remark on Lin and Chang's paper
Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - In: Journal of economic dynamics & control 36 (2012) 5, pp. 708-715
Persistent link: https://www.econbiz.de/10009554315
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A flexible matrix Libor model with smiles
Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
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Valuation of power options under Heston’s stochastic volatility model
Kim, Jerim; Kim, Bara; Moon, Kyoung-sook; Wee, In-suk - In: Journal of economic dynamics & control 36 (2012) 11, pp. 1796-1813
Persistent link: https://www.econbiz.de/10009701929
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Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
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Option pricing with discrete time jump processes
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445
Persistent link: https://www.econbiz.de/10010348134
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900