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Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan; Mariapragassam, Matthieu; Reisinger, Christoph - In: The journal of computational finance 24 (2021) 4, pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
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Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 22 (2022) 6, pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán; Constantinou, Nick - In: Journal of empirical finance 53 (2019), pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
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Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i; Huang, Teng-ching; Lin, Bing-huei - In: The North American journal of economics and finance : a … 25 (2013), pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
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Empirical study of Nikkei 225 options with the Markov switching GARCH model
Satoyoshi, Kiyotaka; Mitsui, Hidetoshi - In: Asia-Pacific financial markets 18 (2011) 1, pp. 55-68
Persistent link: https://www.econbiz.de/10009237749
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Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities
Swishchuk, Anatoliy V. - 2009
) and volatility (Theorem 2) swaps for stochastic volatilities driven by the semi-Markov processes. We also discuss some … extensions of the obtained results such as local semi-Markov volatility, Dupire formula for the local semi-Markov volatility and …
Persistent link: https://www.econbiz.de/10014207748
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Option pricing with conditional GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: European journal of operational research : EJOR 289 (2021) 1, pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
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Option pricing with Markov switching stochastic volatility models
Cheng, Yiying - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 53-63
Persistent link: https://www.econbiz.de/10012601380
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Volatility is (mostly) path-dependent
Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908