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Index option pricing models with stochastic volatility and stochastic interest rates

Jiang, George J.; Sluis, Pieter J. van der - In: European finance review : the official journal of the … 3 (1999) 3, pp. 273-310

Persistent link: https://www.econbiz.de/10001653146

Index option pricing models with stochastic volatility and stochastic interest rates

Jiang, George J.; Sluis, Pieter J. van der - 2000

Persistent link: https://www.econbiz.de/10001473253

Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1999

Persistent link: https://www.econbiz.de/10001432849

Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

Persistent link: https://www.econbiz.de/10000986291

Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...

Persistent link: https://www.econbiz.de/10011284060