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Simple binomial processes as diffusion approximations in financial models
Nelson, Daniel B.; Ramaswamy, Krishna - 1990
Persistent link: https://www.econbiz.de/10000811122
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Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
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Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
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Option pricing for jump diffussion model with random volatility
Thavaneswaran, A.; Singh, Jagbir - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 496-507
Persistent link: https://www.econbiz.de/10008778699
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Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2010
Persistent link: https://www.econbiz.de/10009161203
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Option pricing for symmetric Lévy returns with applications
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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The optimal hedge ratio in option pricing : the case of exponentially truncated Lévy stable distribution
Busca, Gigel; Haven, Emmanuel E.; Jovanovic, Franck; … - In: Theoretical economics letters 4 (2014) 9, pp. 760-766
Persistent link: https://www.econbiz.de/10010531252
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Bayesian DEJD model and detection of asymmetry in jump sizes
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 7 (2015) 1, pp. 43-70
Persistent link: https://www.econbiz.de/10011305742