Similar Search Results

Testing option pricing models with stochastic volatility, random jump and stochastic interest rate

Jiang, George J. - In: International review of finance 3 (2002) 3/4, pp. 233-272

Persistent link: https://www.econbiz.de/10002504517

Stochastic volatility and option pricing

Jiang, George J. - In: Forecasting volatility in the financial markets, (pp. 131-171). 2007

Persistent link: https://www.econbiz.de/10003872887

Stochastic volatility and jump-diffusion : implications on option pricing

Jiang, George J. - In: International journal of theoretical and applied finance 2 (1999) 4, pp. 381-407

Persistent link: https://www.econbiz.de/10001438710

Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities

Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 4, pp. 465-497

Persistent link: https://www.econbiz.de/10001256376

Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation

Jiang, George J.; van der Sluis, Pieter J. - 1998

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...

Persistent link: https://www.econbiz.de/10010324592