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Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
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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
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Approximate arbitrage-free option pricing under the SABR model
Yang, Nian; Chen, Nan; Liu, Yanchu; Wan, Xiangwei - In: Journal of economic dynamics & control 83 (2017), pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
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CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
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Pricing European and American options with two stochastic factors : a highly efficient radial basis function approach
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Journal of economic dynamics & control 37 (2013) 6, pp. 1142-1167
Persistent link: https://www.econbiz.de/10009740447
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Pure jump models for pricing and hedging VIX derivatives
Li, Jing; Li, Lingfei; Zhang, Gongqiu - In: Journal of economic dynamics & control 74 (2017), pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
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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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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
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It only takes a few moments to hedge options
Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David - In: Journal of economic dynamics & control 100 (2019), pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
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Option prices under Bayesian learning : implied volatility dynamics and predictive densities
Guidolin, Massimo; Timmermann, Allan - In: Journal of economic dynamics & control 27 (2003) 5, pp. 717-769
Persistent link: https://www.econbiz.de/10001719690