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Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

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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

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Asymptotic behavior of distribution densities in models with stochastic volatility

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Derivative pricing with wishart multivariate stochastic volatility

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Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory

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Asset pricing under information with stochastic volatility

Düring, Bertram - 2008

process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational … in a simple structural model. -- Pricing kernel ; stochastic volatility ; asset pricing ; option pricing ; credit spreads …