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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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Tractable hedging with additional hedge instruments
Branger, Nicole; Mahayni, Antje - In: Review of derivatives research 14 (2011) 1, pp. 85-114
Persistent link: https://www.econbiz.de/10009272489
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
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Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Feng, Yu; Rudd, Ralph; Baker, Christopher; Mashalaba, … - In: Risks : open access journal 9 (2021) 1/13, pp. 1-20
extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …
Persistent link: https://www.econbiz.de/10012422987
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Pricing, risk and volatility in subordinated market models
Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - In: Risks : open access journal 8 (2020) 4/124, pp. 1-27
were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results …. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier …
Persistent link: https://www.econbiz.de/10012390928
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Option pricing under market maker's inventory risk : a case study of China
Deng, Zhijian; Yao, Yuhang - In: Finance research letters 66 (2024), pp. 1-9
Persistent link: https://www.econbiz.de/10015057717
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Risk sensitive linear approximations
Solórzano Andrade, Gustavo; Parra-Alvarez, Juan Carlos - In: Economics letters 238 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10015075489
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654