Narrow search
Showing 1 - 10 of 1,048
Cover Image
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
Cover Image
A closed-form formula for pricing European options with stochastic volatility, regime switching, and stochastic market liquidity
He, Xin-Jiang; Chen, Hang; Lin, Sha - In: The journal of futures markets 45 (2025) 5, pp. 429-440
Persistent link: https://www.econbiz.de/10015376672
Cover Image
Skewness and option prices under stochastic volatility models : the role of shot-noise jumps
Lin, Wei; Aschakulporn, Pakorn; Ye, Yifan; Zhang, Jin E. - In: The European journal of finance 31 (2025) 8, pp. 990-1017
Persistent link: https://www.econbiz.de/10015445589
Cover Image
Black-Merton-scholes option pricing : a 50-year celebration : looking ahead
Kōnstantinidēs, Giōrgos - In: Journal of investment management : JOIM 22 (2024) 4, pp. 11-15
Persistent link: https://www.econbiz.de/10015405537
Cover Image
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Cover Image
Empirical performance of stochastic volatility option pricing models
Stilger, Przemyslaw S.; Ngoc Quynh Anh Nguyen; Tri Minh … - In: International journal of financial engineering 8 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012654781
Cover Image
Option pricing with Markov switching stochastic volatility models
Cheng, Yiying - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 53-63
Persistent link: https://www.econbiz.de/10012601380
Cover Image
Explicit option valuation in the exponential NIG model
Aguilar, Jean-Philippe - In: Quantitative finance 21 (2021) 8, pp. 1281-1299
Persistent link: https://www.econbiz.de/10012608646
Cover Image
The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
Cover Image
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114
Persistent link: https://www.econbiz.de/10012544164