Narrow search
Showing 1 - 10 of 3,351
Cover Image
Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Cover Image
Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Cover Image
Monte-Carlo Valuation of Options Under Uncertain Volatility : A Local Quadratic Kernel Regression-Based Method
Gocsei, Arnaud - 2012
We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain volatility model …
Persistent link: https://www.econbiz.de/10013101251
Cover Image
Implied Volatility from Asian Options Via Monte Carlo Methods
Yang, Zhaojun - 2009
We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this...
Persistent link: https://www.econbiz.de/10013153472
Cover Image
GARCH pricing and hedging of VIX options
Liu, Qiang; Jiao, Yuhan; Guo, Shuxin - In: The journal of futures markets 42 (2022) 6, pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
Cover Image
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18
This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …
Persistent link: https://www.econbiz.de/10012484130
Cover Image
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
Cover Image
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
Cover Image
Stock price simulation using bootstrap and Monte Carlo
Pažický, Martin - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 155-170
Persistent link: https://www.econbiz.de/10011865983
Cover Image
Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319