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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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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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Uncertain volatility derivative model based on the polynomial chaos
Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
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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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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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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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Financial markets with volatility uncertainty
Vorbrink, Jörg - In: Journal of mathematical economics 53 (2014), pp. 64-78
Persistent link: https://www.econbiz.de/10011297142
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Option Prices in a Model with Stochastic Disaster Risk
Seo, Sang Byung - 2013
the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …
Persistent link: https://www.econbiz.de/10013073202
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Time-Varying Uncertainty and Jump Intensities : Why Should Variance Jumps Be Different?
Kraftschik, Alexander - 2017
uncertainty of the underlying. Transferring this intuition to volatility jumps requires that in affine models the variance jump …
Persistent link: https://www.econbiz.de/10012957054