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Joint pricing of VIX and SPX options with stochastic volatility and jump models
Kokholm, Thomas; Stisen, Martin - In: Journal of risk finance : the convergence of financial … 16 (2015) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10010513370
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016
that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …
Persistent link: https://www.econbiz.de/10011506359
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Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
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American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
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The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
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Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil - In: Quantitative finance 22 (2022) 10, pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
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Pricing Autocallables under Local-Stochastic Volatility
Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022
-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … match the implied volatility smile and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …
Persistent link: https://www.econbiz.de/10013491888
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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
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American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632
Persistent link: https://www.econbiz.de/10010381847