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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie Jane - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10009624510
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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615
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Drawbacks and limitations of Black-Scholes model for options pricing
Janková, Zuzana - In: Journal of financial studies & research : JFSR 2018 (2018), pp. 1-7
Persistent link: https://www.econbiz.de/10011977593
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models
Brigo, Damiano; Dalessandro, Antonio; Neugebauer, Matthias - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 365-393
Persistent link: https://www.econbiz.de/10003907277
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Modelling financial time series
Taylor, Stephen - 2007 - 2. edition
Persistent link: https://www.econbiz.de/10003553502
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Modelling financial time series with SEMIFAR-GARCH model
Feng, Yuanhua; Beran, Jan; Yu, Keming - 2007
A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper...
Persistent link: https://www.econbiz.de/10003876744
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American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
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Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - 2015
diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …
Persistent link: https://www.econbiz.de/10011377837