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99
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94
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90
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70
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69
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69
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68
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66
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66
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65
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65
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Journal of economic dynamics & control
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238
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230
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The European journal of finance
219
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
201
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195
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USB Cologne (business full texts)
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Showing
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10
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date (oldest first)
1
Implied and local
volatility
surfaces for South African index and foreign exchange options
Kotzé, Antonie
;
Oosthuizen, Rudolf
;
Pindza, Edson
- In:
Journal of risk and financial management : JRFM
8
(
2015
)
1
,
pp. 43-82
volatility
. Many exotics are priced in a local
volatility
framework. Pricing under local
volatility
has become a field of … that assumes a constant
volatility
. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local
volatility
models. These models needs a local …
Persistent link: https://www.econbiz.de/10011552872
Saved in:
2
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
-
2016
-
This version: 10 March 2016
that the resulting implied
volatility
curves provide an accurate approximation for a wide range of strike prices. Based on …
Persistent link: https://www.econbiz.de/10011506359
Saved in:
3
Quanto pricing beyond Black-Scholes
Fink, Holger Maria
;
Mittnik, Stefan
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
3
,
pp. 1-27
, we propose a new
calibration
procedure, carry out extensive analyses of parameter stability and assess the goodness of …
Persistent link: https://www.econbiz.de/10012520134
Saved in:
4
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
5
Empirical performance of stochastic
volatility
option pricing models
Stilger, Przemyslaw S.
;
Ngoc Quynh Anh Nguyen
;
Tri Minh …
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654781
Saved in:
6
Collocating
volatility
: a competitive alternative to stochastic local
volatility
models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
7
Calibration
of local
volatility
model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien
;
Tan, Shih-Hau
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
Saved in:
8
Mathematical analysis of financial model on market price with stochastic
volatility
Mondal, Mitun Kumar
;
Alim, Md. Abdul
;
Rahman, Md. Faizur
; …
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 351-365
Persistent link: https://www.econbiz.de/10011673935
Saved in:
9
A comparison of pricing and hedging performances of equity derivatives models
Lassance, Nathan
;
Vrins, Frédéric
- In:
Applied economics
50
(
2018
)
10
,
pp. 1122-1137
Persistent link: https://www.econbiz.de/10011848262
Saved in:
10
A nonparametric local
volatility
model for swaptions smile
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
Saved in:
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