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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
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Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory
Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco - In: Optimization letters 2 (2008) 2, pp. 177-222
Persistent link: https://www.econbiz.de/10003687162
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Essays on the term structure of interest rates and the pricing of equity options
Ono, Sadayuki - 2004
Persistent link: https://www.econbiz.de/10003387315
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Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011
equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information … are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of … pricing ; implied volatility. …
Persistent link: https://www.econbiz.de/10009379446
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Explaining asset prizing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - In: Journal of financial economics 101 (2011) 3, pp. 552-573
Persistent link: https://www.econbiz.de/10009247604
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Equilibrium asset and option pricing under jump diffusion
Zhang, Jin E.; Zhao, Huimin; Chang, Eric Chieh - In: Mathematical finance : an international journal of … 22 (2012) 3, pp. 538-568
Persistent link: https://www.econbiz.de/10009613181
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Option prices under generalized pricing kernels
Düring, Bertram; Lüders, Erik - In: Review of derivatives research 8 (2005) 2, pp. 97-123
Persistent link: https://www.econbiz.de/10003177145
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Asset price dynamics, volatility, and prediction
Taylor, Stephen J.; Taylor, Stephen - 2005
Persistent link: https://www.econbiz.de/10002746484
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The effect of VaR based risk management on asset prices and the volatility smile
Berkelaar, Arjan B.; Cumperayot, Phornchanok J.; … - In: European financial management : the journal of the … 8 (2002) 2, pp. 139-164
Persistent link: https://www.econbiz.de/10001688472