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The EWMA Heston model

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Selected infinitely divisible distributions as models for financial return data - unconditional fit and option pricing

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On volatility smile and an investment strategy with out-of-the-money calls

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Modelling option-implied return distributions: a generalized log-logistic approximation

Hallerbach, Winfried G. - In: Current topics in quantitative finance : with 23 tables, (pp. 80-92). 1999

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(Un)Modelling the Volatility Surface : Valuing South African Volatility Surfaces Via Risk-Neutral Historic Return Distributions

Flint, Emlyn James - 2016

The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

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The impact of the leverage effect on the implied volatility smile : evidence for the German option market

Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133

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Asymmetries in financial returns

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 4 (2017) 4, pp. 1-37

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On regime-switching European option pricing

Kalovwe, Sebastian Kaweto; Mwaniki, Joseph Ivivi; … - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

volatility process spends longer time in regime 2 than it stays in regime 1. The predicted call option prices from both models …

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An empirical investigation of continuous-time equity return models

Andersen, Torben; Benzoni, Luca; Lund, Jesper - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1239-1284

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An empirical investigation of continuous-time equity return models

Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001

Persistent link: https://www.econbiz.de/10001615265

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