Narrow search
Showing 1 - 10 of 171
Cover Image
On improving the least squares Monte Carlo option valuation method
Areal, Nelson; Rodrigues, Artur; Rocha Armada, Manuel da - In: Review of derivatives research 11 (2008) 1/2, pp. 119-151
Persistent link: https://www.econbiz.de/10003829564
Cover Image
Assessing the least squares Monte-Carlo approach to American option valuation
Stentoft, Lars - In: Review of derivatives research 7 (2004) 2, pp. 129-168
Persistent link: https://www.econbiz.de/10003153995
Cover Image
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
Moreno, Manuel; Navas, Javier F. - In: Review of derivatives research 6 (2003) 2, pp. 107-128
Persistent link: https://www.econbiz.de/10001857659
Cover Image
Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi - In: Review of derivatives research 24 (2021) 2, pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
Cover Image
The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo - In: Review of derivatives research 11 (2008) 3, pp. 205-244
Persistent link: https://www.econbiz.de/10003835031
Cover Image
Quadratic hedging in affine stochastic volatility models
Kallsen, Jan; Vierthauer, Richard - In: Review of derivatives research 12 (2009) 1, pp. 3-27
We determine the variance-optimal hedge for a subset of affine processes including a number of popular stochastic volatility models. This framework does not require the asset to be a martingale. We obtain semiexplicit formulas for the optimal hedging strategy and the minimal hedging error by...
Persistent link: https://www.econbiz.de/10003851734
Cover Image
Microstructural biases in empirical tests of option pricing models
Dennis, Patrick; Mayhew, Stewart - In: Review of derivatives research 12 (2009) 3, pp. 169-191
Persistent link: https://www.econbiz.de/10003882896
Cover Image
Calibration and hedging under jump diffusion
He, Changhong; Kennedy, J. S.; Coleman, T. F.; Forsyth, … - In: Review of derivatives research 9 (2006) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10003441126
Cover Image
Price discovery in the US stock and stock options markets : a portfolio approach
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren - In: Review of derivatives research 9 (2006) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10003441188
Cover Image
Valuing reload options
Ingersoll, Jonathan E. - In: Review of derivatives research 9 (2006) 1, pp. 67-105
Persistent link: https://www.econbiz.de/10003441193