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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011478467

Barrier option pricing by branching processes

Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073

Persistent link: https://www.econbiz.de/10003928804

Option pricing with regime switching tempered stable processes

Lin, Zuodong; Račev, Svetlozar T.; Kim, Young Shin; … - 2012

In this paper we will introduce a hybrid option pricing model that combines the classical tempered stable model and regime switching by a hidden Markov chain. This model allows the description of some stylized phenomena about asset return distributions that are well documented in financial...

Persistent link: https://www.econbiz.de/10009576324

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

Learning for infinitely divisible GARCH models in option pricing

Zhu, Fumin; Bianchi, Michele Leonardo; Kim, Young Shin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 35-62

Persistent link: https://www.econbiz.de/10012594154