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The dual jump diffusion model for security prices
Frost, Daniel Allen - 1993
Persistent link: https://www.econbiz.de/10000996118
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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A general approach for modeling the term structure of interest rates : estimation and application
Zhang, Hua - In: Advances in quantitative analysis of finance and … 5 (1997), pp. 61-85
Persistent link: https://www.econbiz.de/10001230054
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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Option calibration of exponential Lévy models : implementation and empirical results
Söhl, Jakob; Trabs, Mathias - 2012
the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self …
Persistent link: https://www.econbiz.de/10009502936
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Moment-implied densities : properties and applications
Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
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Option Convergence Rate with Geometric Random Walks Approximations
Leduc, Guillaume - 2016
We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the Black-Scholes model converges to zero at a speed of 1/n for continuous payoffs functions, and at a speed of 1/√n for discontinuous payoffs...
Persistent link: https://www.econbiz.de/10012998163