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A general closed form option pricing formula

Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

Persistent link: https://www.econbiz.de/10011506359

The extended SSVI volatility surface

Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/2019) 5, pp. 25-39

Persistent link: https://www.econbiz.de/10012042223

Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods

Hok, Julien; Tan, Shih-Hau - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 609-637

Persistent link: https://www.econbiz.de/10012127281

Implied and local volatility surfaces for South African index and foreign exchange options

Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82

volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …

Persistent link: https://www.econbiz.de/10011552872

Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

Flint, Emlyn; Maré, E. - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10011773296

A comparison of pricing and hedging performances of equity derivatives models

Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137

Persistent link: https://www.econbiz.de/10011848262

A nonparametric local volatility model for swaptions smile

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62

Persistent link: https://www.econbiz.de/10011860899

Quanto pricing beyond Black-Scholes

Fink, Holger Maria; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 14 (2021) 3, pp. 1-27

, we propose a new calibration procedure, carry out extensive analyses of parameter stability and assess the goodness of …

Persistent link: https://www.econbiz.de/10012520134

Replication scheme for the pricing of European options

Funahashi, Hideharu - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10012652628

Empirical performance of stochastic volatility option pricing models

Stilger, Przemyslaw S.; Ngoc Quynh Anh Nguyen; Tri Minh … - In: International journal of financial engineering 8 (2021) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012654781

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