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Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach
Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363
Persistent link: https://www.econbiz.de/10010357372
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Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
Pellegrino, Tommaso - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10012271009
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Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
Byström, Hans - 2000
This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for the volatility is estimated with...
Persistent link: https://www.econbiz.de/10013208410
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Semi-analytical prices for lookback and barrier options under the Heston model
De Gennaro Aquino, Luca; Bernard, Carole - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 715-741
Persistent link: https://www.econbiz.de/10012127317
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Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
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Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin; Cui, Zhenyu; Liu, Yanchu - In: The journal of futures markets 43 (2023) 12, pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
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Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
Byström, Hans - Nationalekonomiska Institutionen, Ekonomihögskolan - 2000
This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for the volatility is estimated with...
Persistent link: https://www.econbiz.de/10005190591
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Spectral study of options based on CEV model with multidimensional volatility
Burtnyak, Ivan; Malytska, Anna - In: Investment management and financial innovations 15 (2018) 1, pp. 18-25
Persistent link: https://www.econbiz.de/10012001314
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A multi time-scale theory of economic growth and cycles
Jacobo, Juan - In: Structural change and economic dynamics : SC+ED 62 (2022), pp. 143-155
Persistent link: https://www.econbiz.de/10013533824
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Financial innovation of mass destruction: The story of a countrywide FX options debacle
Sławik, Anna; Bohatkiewicz-Czaicka, Joanna - In: Risks 10 (2022) 2, pp. 1-17
Astonishingly little attention has been paid in academic literature to the 2008-2009 foreign exchange (FX) options debacle in Poland, the scale of which was unheard of. It affected not only an individual organization but a significant part of economy, being an example of a situation in which...
Persistent link: https://www.econbiz.de/10013200919