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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

Convergence of discrete time option pricing models under stochastic interest rates

Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - 1998

Persistent link: https://www.econbiz.de/10000997340

Valuing American options using fast recursive projections

Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012

This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...

Persistent link: https://www.econbiz.de/10009558308

Option pricing with discrete rebalancing

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 1999

Persistent link: https://www.econbiz.de/10009758936