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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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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Processes of Normal Inverse Gaussian Type
Barndorff-Nielsen, Ole E. - 1998
- Uhlenbeck type processes, superpositions of such processes and stochastic volatility models in one and more dimensions are …
Persistent link: https://www.econbiz.de/10014070167
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265