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Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147
Persistent link: https://www.econbiz.de/10011672905
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Dividend derivatives
Tunaru, Radu - In: Quantitative finance 18 (2018) 1, pp. 63-81
Persistent link: https://www.econbiz.de/10011905830
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Pricing Variance Swaps Under Heston Stochastic Volatility Model with Stochastic Interest Rate and Stochastic Dividend Yield
Djiké, Habakuk - 2023
model with stochastic interest rate and stochastic dividend yield. In particular, our modelling framework consists of a … stochastic interest rate driven by Hull-White (HW) or Cox-Ingersoll-Ross (CIR) processes and a stochastic dividend yield, also … driven by HW or CIR processes, which extends the framework of [Ros20] by incorporating the stochastic dividend yield and …
Persistent link: https://www.econbiz.de/10014354552
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
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Derivative pricing with wishart multivariate stochastic volatility
Gouriéroux, Christian; Sufana, Razvan - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 438-451
Persistent link: https://www.econbiz.de/10008736163
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Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory
Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco - In: Optimization letters 2 (2008) 2, pp. 177-222
Persistent link: https://www.econbiz.de/10003687162
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Asset pricing under information with stochastic volatility
Düring, Bertram - 2008
Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong...
Persistent link: https://www.econbiz.de/10003876894
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Pricing American options when asset prices jump
Chockalingam, Arunachalam; Muthuraman, Kumar - In: Operations research letters 38 (2010) 2, pp. 82-86
Persistent link: https://www.econbiz.de/10003961602
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Option pricing under a stressed-beta model
Fouque, Jean-Pierre; Tashman, Adam P. - In: Annals of finance 8 (2012) 2/3, pp. 183-203
Persistent link: https://www.econbiz.de/10009548095