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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel - 2020
Persistent link: https://www.econbiz.de/10012435636
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Underlying assets distribution in derivatives : the BRIC case
Núñez, José A.; Contreras-Valdez, Mario I.; … - In: Theoretical economics letters 8 (2018) 3, pp. 502-513
Persistent link: https://www.econbiz.de/10011822832
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
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Exchange and interest rates prior to EMU : the case of Greece
Antzoulatos, Angelos A. (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10002007148
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First and Second Order Greeks in the Heston Model
Chan, Jiun Hong - 2014
In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model using the algorithmic differentiation approach. Issues related to the applicability of the pathwise method are discussed in this paper as most existing numerical...
Persistent link: https://www.econbiz.de/10013068956
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A Note about SABR Greeks
DY, Oudom - 2017
There are several kind of models for the generation of a volatility surface, one which is especially popular for the … volatility. We derive analytical formulae for components which arise in SABR greeks, for the Hagan and Bartlett versions, for the …
Persistent link: https://www.econbiz.de/10012951470
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Application of the Heston's Stochastic Volatility Model on the Greek Stock Market
Karaflos, Dimosthenis - 2015
This study focus on applying the Heston's stochastic volatility model, to the Greek stock market, by estimating the … futures values of volatility …
Persistent link: https://www.econbiz.de/10013023733
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The impact of economic uncertainty and inflation uncertainty on the Greek economy
Balfoussia, Hiona; Louzis, Dimitrios P. - In: Economic bulletin 53 (2021), pp. 49-67
Persistent link: https://www.econbiz.de/10012802930
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Pricing American options with jumps in asset and volatility
Taruvinga, Blessing; Kang, Boda; Nikitopoulos, … - 2019 - Updated January 2019
Persistent link: https://www.econbiz.de/10013255767