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A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities

Casarin, Roberto; Leisen, Fabrizio; Molina, German; … - 2014

Persistent link: https://www.econbiz.de/10011631789

Valuation of R&D compound option using Markov chain approach

D'Amico, Guglielmo; Villani, Giovanni - In: Annals of finance 17 (2021) 3, pp. 379-404

Persistent link: https://www.econbiz.de/10012622325

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

Extensions on the Hatzopoulos-Sagianou multiple-components stochastic mortality model

Sagianou, Aliki; Hatzopoulos, Peter - In: Risks : open access journal 10 (2022) 7, pp. 1-30

In this paper, we present extensions of the Hatzopoulos-Sagianou (2020) (HS) multiple-component stochastic mortality model. Our aim is to thoroughly evaluate and stress test the HS model by deploying various link functions, using generalised linear models, and diverse distributions in the...

Persistent link: https://www.econbiz.de/10013365106

Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study

Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012666125

Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484

Persistent link: https://www.econbiz.de/10012500958

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

Stochastic framework for carbon price risk estimation of real estate : a Markov switching GARCH simulation approach

Oertel, Cay; Kovaleva, Ekaterina; Gleißner, Werner; … - In: Journal of property investment & finance 40 (2022) 4, pp. 381-397

Persistent link: https://www.econbiz.de/10013370717

Efficient simulation of clustering jumps with CIR intensity

Dassios, Angelos; Zhao, Hongbiao - In: Operations research 65 (2017) 6, pp. 1494-1515

Persistent link: https://www.econbiz.de/10011777769

Option portfolio management in a risk-neutral world

Golembiovsky, Dmitry Jurievich; Abramov, Anatoly Markovich - In: Journal of mathematical finance 8 (2018) 4, pp. 710-733

Persistent link: https://www.econbiz.de/10012016559