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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

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

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

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

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