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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

Optimum Weighting for the Least Squares Monte Carlo Approach to American Options Under the CEV Model

Barden, Jason - 2015

In this paper we propose the optimum weighting scheme for pricing American options under a local volatility model …. American options are priced under the constant elasticity of variance volatility model using Monte Carlo simulation. The …

Persistent link: https://www.econbiz.de/10013018846

Predictable dynamics in the implied volatility surface based on weighted least squares : evidence from soybean meal futures options in China

Sui, Cong; Lung, Peter P.; Yang, Mo - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 11, pp. 2625-2638

Persistent link: https://www.econbiz.de/10012262896

Parametric estimation of hidden Markov models by least squares type estimation and deconvolution

Chesneau, Christophe; El Kolei, Salima; Navarro, Fabien - 2017

Persistent link: https://www.econbiz.de/10012200019

Macroeconomic uncertainty and vector autoregressions

Forni, Mario; Gambetti, Luca; Sala, Luca - 2021

Persistent link: https://www.econbiz.de/10012417673

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

Tools and techniques

Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010

Persistent link: https://www.econbiz.de/10003898678

Nonparametric transition-based tests for jump diffusions

Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116

Persistent link: https://www.econbiz.de/10003902802

Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425

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

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