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Valuing swaptions

Fabozzi, Frank J.; Buetow, Gerald W. - 2008

Persistent link: https://www.econbiz.de/10003765712

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

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010204746

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Leonardo Bianchi, Michele; Fabozzi, Frank J.; Račev, … - 2014

Persistent link: https://www.econbiz.de/10010414284

Option pricing under stochastic volatility and tempered stable Lévy jumps

Zaevski, Tsvetelin S.; Kim, Young Shin; Fabozzi, Frank J. - In: International review of financial analysis 31 (2014), pp. 101-108

Persistent link: https://www.econbiz.de/10010461532

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Bianchi, Michele Leonardo - 2014

In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return … time series and to fit the volatility smile for exchange-traded options where the underlying is the main ‘Borsa Italiana … of the implied volatility for numerous strikes and maturities during the highly volatile period from April 1, 2007 (prior …

Persistent link: https://www.econbiz.de/10013056568