Narrow search
Showing 1 - 10 of 161
Cover Image
Exchange Options under Jump-Diffusion Dynamics
Cheang, Gerald H. L.; Chiarella, Carl - 2009
Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log-normal with correlated Wiener components. Merton has provided a formula for the price of a European call option on a single stock where the stock price process contains a continuous...
Persistent link: https://www.econbiz.de/10014210168
Cover Image
Volatility swaps and volatility options on discretely sampled realized variance
Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. - In: Journal of economic dynamics & control 47 (2014), pp. 239-262
Persistent link: https://www.econbiz.de/10010485855
Cover Image
The evaluation of American compound option prices under stochastic volatility and stochastic interest rates
Chiarella, Carl; Kang, Boda - In: The journal of computational finance 17 (2013) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10010337816
Cover Image
The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl; Kang, Boda - 2009
Persistent link: https://www.econbiz.de/10003857524
Cover Image
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan - In: Contemporary quantitative finance : essays in honour of …, (pp. 281-315). 2010
Persistent link: https://www.econbiz.de/10008749199
Cover Image
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - 2010
Persistent link: https://www.econbiz.de/10008662205
Cover Image
Optimal investment strategies under stochastic volatility : estimation and applications
Chiarella, Carl; Hsiao, Chih-ying - 2010
Persistent link: https://www.econbiz.de/10008663099
Cover Image
The representation of American options prices under stochastic volatility and jump-diffusion dynamics
Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - 2009
Persistent link: https://www.econbiz.de/10009233319
Cover Image
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Cover Image
Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl; Griebsch, Susanne; Kang, Boda - 2013
Persistent link: https://www.econbiz.de/10009744645