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Option pricing in regime-switching frameworks with the Extended Girsanov Principle

Godin, Frédéric; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 99 (2021), pp. 116-129

Persistent link: https://www.econbiz.de/10012649213

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

GARCH option pricing models with Meixner innovations

Fengler, Matthias; Melnikov, Alexander - 2017

Persistent link: https://www.econbiz.de/10011718747

GARCH option pricing models with Meixner innovations

Fengler, Matthias; Melnikov, Alexander - In: Review of derivatives research 21 (2018) 3, pp. 277-305

Persistent link: https://www.econbiz.de/10012055743

Option pricing under regime-switching models : novel approaches removing path-dependence

Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 87 (2019), pp. 130-142

Persistent link: https://www.econbiz.de/10012058933

Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility

De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105

Persistent link: https://www.econbiz.de/10011890181

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Option pricing with non-Gaussian scaling and infinite-state switching volatility

Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497

Persistent link: https://www.econbiz.de/10011499748

Investor attention and FX market volatility

Goddard, John A.; Kita, Arben; Wang, Qingwei - In: Journal of international financial markets, … 38 (2015), pp. 79-96

Persistent link: https://www.econbiz.de/10011475168

Option pricing with Markov switching stochastic volatility models

Cheng, Yiying - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 53-63

Persistent link: https://www.econbiz.de/10012601380

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