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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
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Pricing American options when asset prices jump
Chockalingam, Arunachalam; Muthuraman, Kumar - In: Operations research letters 38 (2010) 2, pp. 82-86
Persistent link: https://www.econbiz.de/10003961602
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On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009562159
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Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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Pricing VIX Options with Multifactor Stochastic Volatility
Caversaccio, Pascal Marco - 2016
Chicago Board Options Exchange (CBOE) volatility index (VIX) options. Our methodology is analytically tractable and yet … modeling the stochastic co-volatility factor can significantly improve the in-sample fitting results due to the improved …
Persistent link: https://www.econbiz.de/10012989064
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The role of jumps and options in the risk premia of interest rates
Lund, Bruno - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10012129514
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An approximation scheme for option pricing under two-state continuous CAPM
Safdari-Vaighani, Ali; Ahmadian, Davood; Javid-Jahromi, Roja - In: Computational economics 57 (2021) 4, pp. 1373-1385
Persistent link: https://www.econbiz.de/10012543380
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Jumps in commodity prices : new approaches for pricing plain vanilla options
Crosby, John; Frau, Carme - In: Energy economics 114 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013477538
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112