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Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004
Persistent link: https://www.econbiz.de/10003487959
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Efficient, almost exact simulation of the heston stochastic volatility model
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10008860425
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Estimation of an EGARCH volatility option pricing model using a bacteria foraging optimisation algorithm
Dang, Jing; Brabazon, Anthony; O'Neill, Michael; … - In: Natural computing in computational finance ; [the …, (pp. 109-127). 2008
Persistent link: https://www.econbiz.de/10009515172
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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Volatility in the capital markets : state-of-the-art techniques for modeling, managing, and trading volatility
Nelken, Israel (ed.) - 1997
Persistent link: https://www.econbiz.de/10001783628
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Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang; Hafner, Christian M. - In: Finance and stochastics 4 (2000) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10001486714
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Markov switching in GARCH processes and mean-reverting stock-market volatility
Dueker, Michael - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 26-34
Persistent link: https://www.econbiz.de/10001214324
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Weak convergence and distributional assumptions for a general class of nonlinear ARCH models
Fornari, Fabio - In: Econometric reviews 16 (1997) 2, pp. 205-227
Persistent link: https://www.econbiz.de/10001220185