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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
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A non-parametric estimator for stochastic volatility density
Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10012655445
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Bond and option prices with permanent shocks
Zoubi, Haitham al- - In: Journal of empirical finance 53 (2019), pp. 272-290
Persistent link: https://www.econbiz.de/10012171645
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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Estimating stochastic volatility under the assumption of stochastic volatility of volatility
Alghalith, Moawia; Floros, Christos; Gillas, … - In: Risks : open access journal 8 (2020) 2/35, pp. 1-16
We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we … relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary … Standard & Poor´s 500 equity index, the estimates revealed strong evidence that both volatility and the volatility of …
Persistent link: https://www.econbiz.de/10012204468
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A spectral estimation of tempered stable stochastic volatility models and option pricing
Li, Junye; Favero, Carlo A.; Ortu, Fulvio - 2010
Persistent link: https://www.econbiz.de/10011334802
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Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio; Cordoni, Francesco; Di Persio, Luca; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 527-573
Persistent link: https://www.econbiz.de/10012127266