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Are regime-shift sources of risk priced in the market?

Chourdakis, Kyriakos; Dendramis, Yiannis; Tzavalis, Elias - In: Journal of empirical finance 28 (2014), pp. 151-170

Persistent link: https://www.econbiz.de/10011285074

Lévy processes driven by stochastic volatility

Chourdakis, Kyriakos - In: Asia-Pacific financial markets 12 (2005) 4, pp. 333-352

Persistent link: https://www.econbiz.de/10003496705

Option pricing using the fractional FFT

Chourdakis, Kyriakos - In: The journal of computational finance 8 (2004/2005) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10002597392

Continuous time regime switching models and applications in estimating processes with stochastic volatility and jumps

Chourdakis, Kyriakos (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001866950

Non-affine option pricing

Chourdakis, Kyriakos - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 10-25

Persistent link: https://www.econbiz.de/10002007114

Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps

Chourdakis, Kyriakos - 2003

A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard...

Persistent link: https://www.econbiz.de/10014099175