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An empirical investigation in credit spread indices

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 2000

Persistent link: https://www.econbiz.de/10001604303

An empirical investigation in credit spread indices

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 2000

Persistent link: https://www.econbiz.de/10001572485

An empirical investigation in credit spread indices

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 2000

Persistent link: https://www.econbiz.de/10001533313

Testing for threshold effect in ARFIMA models : application to US unemployment rate data

Lahiani, A.; Scaillet, Olivier - In: International journal of forecasting 25 (2009) 2, pp. 418-428

Persistent link: https://www.econbiz.de/10003870074

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

Technical trading revisited : false discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version July 2009

Persistent link: https://www.econbiz.de/10003936746

Testing for threshold effect in ARFIMA models : application to US unemployment rate data

Lahiani, A.; Scaillet, Olivier - 2008

Persistent link: https://www.econbiz.de/10003936768

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...

Persistent link: https://www.econbiz.de/10003550657

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

Medvedev, Alexey; Scaillet, Olivier - In: The review of financial studies 20 (2007) 2, pp. 427-459

Persistent link: https://www.econbiz.de/10003554444