Narrow search
Showing 1 - 10 of 9,436
Cover Image
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu; Chen, Ting-Fu - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Cover Image
Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10008702343
Cover Image
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
Cover Image
A nonparametric approach to the noise density in stochastic volatility models
Alfarano, Simone; Wagner, Friedrich; Milaković, Mishael - In: Applied financial economics letters 4 (2008) 4/6, pp. 311-314
Persistent link: https://www.econbiz.de/10003807697
Cover Image
Stochastic volatility
Andersen, Torben; Benzoni, Luca - 2009
Persistent link: https://www.econbiz.de/10003880159
Cover Image
Pricing options by simulation using realized volatility
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2009
Persistent link: https://www.econbiz.de/10003869596
Cover Image
Realizing smiles: pricing options with realized volatility
Corsi, Fulvio; Fusari, Nicola; Vecchia, Davide la - 2010
We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …
Persistent link: https://www.econbiz.de/10003973052
Cover Image
The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10003955535
Cover Image
Derivative pricing with wishart multivariate stochastic volatility
Gouriéroux, Christian; Sufana, Razvan - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 438-451
Persistent link: https://www.econbiz.de/10008736163
Cover Image
What explains long memory in futures price volatility?
Power, G. J.; Turvey, Calum Greig - In: Applied economics 43 (2011) 22/24, pp. 3395-3404
Persistent link: https://www.econbiz.de/10009357366