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Pricing american options under stochastic volatility and stochastic interest rates

Medvedev, Alexey; Scaillet, Olivier - 2009 - This version Sept. 2009

Persistent link: https://www.econbiz.de/10003936104

Pricing American options under stochastic volatility and stochastic interest rates

Medvedev, Alexey; Scaillet, Olivier - In: Journal of financial economics 98 (2010) 1, pp. 145-159

Persistent link: https://www.econbiz.de/10008702738

Pricing American options under stochastic volatility and stochastic interest rates

Medvedev, Alexey (contributor); … - 2007

We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with...

Persistent link: https://www.econbiz.de/10003550657

Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility

Medvedev, Alexey (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003354334

Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility

Medvedev, Alexey; Scaillet, Olivier - In: The review of financial studies 20 (2007) 2, pp. 427-459

Persistent link: https://www.econbiz.de/10003554444

Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility

Medvedev, Alexey (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003370412

A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics

Medvedev, Alexey (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001864584

A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics

Medvedev, Alexey; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001825737

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary

Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111

Persistent link: https://www.econbiz.de/10001486629

Convergence of discrete time option pricing models under stochastic interest rates

Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 81-93

Persistent link: https://www.econbiz.de/10001487041

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