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Calibration and hedging under jump diffusion

He, C.; Kennedy, J.; Coleman, T.; Forsyth, P.; Li, Y.; … - In: Review of Derivatives Research 9 (2006) 1, pp. 1-35

intrinsic to this type of model: calibration of parameters and hedging of jump risk. Even though the estimation problem is ill …

Persistent link: https://www.econbiz.de/10005709826

Static versus dynamic hedges: an empirical comparison for barrier options

Engelmann, Bernd; Fengler, Matthias; Nalholm, Morten; … - In: Review of Derivatives Research 9 (2006) 3, pp. 239-264

Persistent link: https://www.econbiz.de/10005709832

On pricing options with stressed-beta in a reduced form model

Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of Derivatives Research 18 (2015) 1, pp. 29-50

<Para ID="Par1">We consider the valuation of options with stressed-beta in a reduced form model. Under this two-state beta model, we provide the analytic pricing formulae for the European options and American options as the integral forms. Specifically, we provide the integral representation of the early...</para>

Persistent link: https://www.econbiz.de/10011242060

Calibration risk: Illustrating the impact of calibration risk under the Heston model

Guillaume, Florence; Schoutens, Wim - In: Review of Derivatives Research 15 (2012) 1, pp. 57-79

Persistent link: https://www.econbiz.de/10010867549

The αVG model for multivariate asset pricing: calibration and extension

Guillaume, Florence - In: Review of Derivatives Research 16 (2013) 1, pp. 25-52

the calibration fit of both univariate option surfaces and market implied correlations for a period extending from the 2nd … of June 2008 until the 30th of October 2009 under the two model settings and assess the calibration risk arising from … different calibration procedures by pricing traditional multivariate exotic options. In particular we show that the decoupling …

Persistent link: https://www.econbiz.de/10010989566

Tractable hedging with additional hedge instruments

Branger, Nicole; Mahayni, Antje - In: Review of Derivatives Research 14 (2011) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10008926020

Exchange option pricing under stochastic volatility: a correlation expansion

Antonelli, F.; Ramponi, A.; Scarlatti, S. - In: Review of Derivatives Research 13 (2010) 1, pp. 45-73

Persistent link: https://www.econbiz.de/10010867543

A fast Fourier transform technique for pricing American options under stochastic volatility

Zhylyevskyy, Oleksandr - In: Review of Derivatives Research 13 (2010) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010867544

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young; Fabozzi, Frank; Lin, Zuodong; Rachev, Svetlozar - In: Review of Derivatives Research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010867545

A closed-form solution for options with ambiguity about stochastic volatility

Faria, Gonçalo; Correia-da-Silva, João - In: Review of Derivatives Research 17 (2014) 2, pp. 125-159

We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the stochastic process that determines the variance of the underlying asset’s return. The option pricing formula of Heston (Rev Financ Stud 6(2):327–343, <CitationRef CitationID="CR43">1993</CitationRef>) is a particular case of...</citationref>

Persistent link: https://www.econbiz.de/10010989561