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Analysis of market volatility via a dynamically purified option price process
Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 9 (2014) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10010391659
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The continuous limit of weak GARCH
Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
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Research on pricing of Shanghai 50ETF options based on fractal B-S model and GARCH model
Hu, Wanting - In: Modern economy 11 (2020) 2, pp. 407-425
Persistent link: https://www.econbiz.de/10012424566
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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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Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil - In: Quantitative finance 22 (2022) 10, pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
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Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun - In: Applied economics letters 29 (2022) 12, pp. 1060-1068
Persistent link: https://www.econbiz.de/10013412038
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Empirical option pricing models
Bates, David S. - In: Annual review of financial economics 14 (2022), pp. 369-389
Persistent link: https://www.econbiz.de/10013461154
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Volatility bursts : a discrete-time option model with multiple volatility components
Lilla, Francesca - In: Journal of financial econometrics 21 (2023) 3, pp. 678-713
Persistent link: https://www.econbiz.de/10014314782
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666