Narrow search
Showing 1 - 10 of 13,244
Cover Image
Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Cover Image
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
Cover Image
Simple robust hedging with nearby contracts
Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
Cover Image
Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Cover Image
Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
Cover Image
Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Cover Image
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
Cover Image
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18
This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...
Persistent link: https://www.econbiz.de/10012484130
Cover Image
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Cover Image
MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.; Li, Haitao; Wells, Martin T. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 383-422
Persistent link: https://www.econbiz.de/10009155205