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Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Asghari, Naser M.
;
Mandjes, Michel
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 67-100
Persistent link: https://www.econbiz.de/10011656711
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High-frequency realized stochastic volatility model
Watanabe, Toshiaki
;
Nakajima, Jouchi
- In:
Journal of empirical finance
79
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10015179722
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A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko
;
Takehara, Kohta
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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Quasi- Monte Carol methods for the Heston model
Baldeaux, Jan
;
Roberts, Dale
-
2012
Persistent link: https://www.econbiz.de/10009564454
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5
How to implement market models using VBA
Goossens, François
-
2015
Persistent link: https://www.econbiz.de/10010493587
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The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl
;
Kang, Boda
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2009
Persistent link: https://www.econbiz.de/10003857524
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7
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448006
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8
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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9
Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz
;
Mehrdoust, Farshid
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
-
2018
Persistent link: https://www.econbiz.de/10011891048
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