Similar Search Results

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

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

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

Stochastic volatility

Andersen, Torben; Benzoni, Luca - 2009

Persistent link: https://www.econbiz.de/10003880159

Pricing options by simulation using realized volatility

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2009

Persistent link: https://www.econbiz.de/10003869596

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 …