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Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model

Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106

Persistent link: https://www.econbiz.de/10011392906

Pricing swaptions under multifactor Gaussian HJM models

Nunes, Joaõ Pedro Vidal; Prazeres, Pedro Miguel Silva - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 762-789

Persistent link: https://www.econbiz.de/10011308169

Pricing spread options by generalized bivariate edgeworth expansion

Kao, Edward P.; Xie, Weiwei - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-30

Persistent link: https://www.econbiz.de/10011777833

Risk assessment of progressive casino games

Revie, Matthew; Quigley, John - In: The journal of gambling business and economics 8 (2014) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10010411933

Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions

Catalão, André; Rosenfeld, Rogério - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-52

Persistent link: https://www.econbiz.de/10012270883

Testing for jumps based on high-frequency data : a method exploiting microstructure noise

Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809

Persistent link: https://www.econbiz.de/10012313515

Specification testing in nonstationary time series models

Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan - In: The econometrics journal 18 (2015) 1, pp. 117-136

Persistent link: https://www.econbiz.de/10011345989

Confidence sets in nonparametric calibration of exponential Lévy models

Söhl, Jakob - 2012

Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the volatility, the drift, the intensity and the Lévy...

Persistent link: https://www.econbiz.de/10010281561

Sample quantile analysis for long-memory stochastic volatility models

Ho, Hwai-chung - In: Journal of econometrics 189 (2015) 2, pp. 360-370

Persistent link: https://www.econbiz.de/10011504558

A stochastic recurrence equations approach for score driven correlation models

Blasques, Francisco; Lucas, André; Silde, Erkki - In: Econometric reviews 37 (2018) 1/5, pp. 166-181

Persistent link: https://www.econbiz.de/10012038166