Narrow search
Showing 1 - 10 of 3,321
Cover Image
MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732
Cover Image
Exotic option, stochastic volatility and incentive scheme
Tang, J.; Yau, S. S.-T. - In: Computational finance and its applications II : [Second …, (pp. 183-192). 2006
Persistent link: https://www.econbiz.de/10003410142
Cover Image
Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
Cover Image
Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Cover Image
Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
Cover Image
The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
Cover Image
Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
Guo, Ivan - 2016
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …
Persistent link: https://www.econbiz.de/10012980091
Cover Image
SABR equipped with AI wings
Funahashi, Hideharu - In: Quantitative finance 23 (2023) 2, pp. 229-249
Persistent link: https://www.econbiz.de/10014232624
Cover Image
A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil
Argento, Pedro; Klotzle, Marcelo Cabus; Pinto, Antônio … - In: International journal of energy sector management 16 (2022) 3, pp. 448-468
Persistent link: https://www.econbiz.de/10013345666
Cover Image
Pricing Autocallables under Local-Stochastic Volatility
Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022
-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … match the implied volatility smile and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …
Persistent link: https://www.econbiz.de/10013491888