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Integrated OU Processes
Barndorff-Nielsen, Ole E.; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2001
In this paper we study the detailed distributional properties of integrated non-Gaussian OU (intOU) processes. Both exact results and approximate results are given. We emphasise the study of the tail behaviour of the intOU process. Our results have many potential applications in financial...
Persistent link: https://www.econbiz.de/10005812247
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Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
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A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo; Correira-da-Silva, João - In: Review of derivatives research 17 (2014) 2, pp. 125-159
Persistent link: https://www.econbiz.de/10010529639
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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
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Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
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Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
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Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
Hu, Jun; Kanniainen, Juho - In: Finance research letters 14 (2015), pp. 1-10
Persistent link: https://www.econbiz.de/10011552564
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Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
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On the importance of the traders' rules for pricing options : evidence from intraday data
Kim, Sol; Lee, Changjun - In: Asia-Pacific journal of financial studies 43 (2014) 6, pp. 873-894
Persistent link: https://www.econbiz.de/10010476863