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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732
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Exotic option, stochastic volatility and incentive scheme
Tang, J.; Yau, S. S.-T. - In: Computational finance and its applications II : [Second …, (pp. 183-192). 2006
Persistent link: https://www.econbiz.de/10003410142
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The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - 2010
Persistent link: https://www.econbiz.de/10008662205
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Pricing options under stochastic volatility : a power series approach
Antonelli, Fabio; Scarlatti, Sergio - In: Finance and stochastics 13 (2009) 2, pp. 269-303
Persistent link: https://www.econbiz.de/10003939521
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A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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The role of stochastic volatility and return jumps : reproducing volatility and higher moments in the KOSPI 200 returns dynamics
Kim, In-joon; Baek, In-Seok; Noh, Jaesun; Kim, Sol - In: Review of quantitative finance and accounting 29 (2007) 1, pp. 69-110
Persistent link: https://www.econbiz.de/10003600092
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The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl; Kang, Boda - 2009
Persistent link: https://www.econbiz.de/10003857524
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American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
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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