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Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility

Medvedev, Alexey (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003354334

Pricing american options under stochastic volatility and stochastic interest rates

Medvedev, Alexey; Scaillet, Olivier - 2009 - This version Sept. 2009

Persistent link: https://www.econbiz.de/10003936104

Testing for stochastic dominance efficiency

Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 169-180

Persistent link: https://www.econbiz.de/10003992828

Pricing American options under stochastic volatility and stochastic interest rates

Medvedev, Alexey; Scaillet, Olivier - In: Journal of financial economics 98 (2010) 1, pp. 145-159

Persistent link: https://www.econbiz.de/10008702738

Pricing American options under stochastic volatility and stochastic interest rates

Medvedev, Alexey (contributor); … - 2007

We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with...