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Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

Option pricing under regime-switching models : novel approaches removing path-dependence

Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 87 (2019), pp. 130-142

Persistent link: https://www.econbiz.de/10012058933

Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility

De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105

Persistent link: https://www.econbiz.de/10011890181

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

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

A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options

Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194

Persistent link: https://www.econbiz.de/10014456945

Non-Gaussian GARCH option pricing models and their diffusion limits

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830

Persistent link: https://www.econbiz.de/10011386309

Asset pricing using trading volumes in a hidden regime-switching environment

Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149

Persistent link: https://www.econbiz.de/10011377522

Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate

Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278

Persistent link: https://www.econbiz.de/10011312416

An explicit option-based strategy that outperforms dollar cost averaging

Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10009624518

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