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Stochastic implied volatility : a factor-based model
Hafner, Reinhold - 2004
This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows … volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both … the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of …
Persistent link: https://www.econbiz.de/10002063039
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Optionsbewertung mit stochastischer Volatilität : Implementation des Heston-Modells
Muck, Matthias; Rudolf, Markus - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 35 (2006) 6, pp. 325-330
Persistent link: https://www.econbiz.de/10003324884
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Exotic option pricing in Heston's stochastic volatility model
Griebsch, Susanne A. - 2008
Persistent link: https://www.econbiz.de/10003881039
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Put-call symmetry : extensions and applications
Carr, Peter; Lee, Roger - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 523-560
Persistent link: https://www.econbiz.de/10003937125
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …
Persistent link: https://www.econbiz.de/10008797695
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A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
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Exotic derivatives under stochastic volatility models with jumps
Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Advanced mathematical methods for finance, (pp. 455-508). 2011
Persistent link: https://www.econbiz.de/10008991275
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Derivative Instrumente auf Volatilitäten an Aktien- und Optionsmärkten : eine theoretische und empirische Untersuchung
Henn, Eric Tobias - 2001
Persistent link: https://www.econbiz.de/10001768552
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Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal - 2012
Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …
Persistent link: https://www.econbiz.de/10013114231
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Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal - 2011
Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …
Persistent link: https://www.econbiz.de/10013121295