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Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

Hambly, Ben; Kolliopoulos, Nikolaos - In: Finance and stochastics 24 (2020) 3, pp. 757-794

Persistent link: https://www.econbiz.de/10012518096

Equilibrium preference free pricing of derivatives under the generalized beta distributions

Ikeda, Masayuki - In: Review of derivatives research 13 (2010) 3, pp. 297-332

Persistent link: https://www.econbiz.de/10008695881

A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes

Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246

Persistent link: https://www.econbiz.de/10011543918

Daily data is bad for beta : opacity and frequency-dependent betas

Gilbert, Thomas; Hrdlicka, Christopher; Kalodimos, Jonathan - In: Review of asset pricing studies 4 (2014) 1, pp. 78-117

Persistent link: https://www.econbiz.de/10010399878

Generalized beta distributions for describing and analysising intraday stock market data : testing the U-shape pattern

Panas, Epaminodas - In: Applied economics 37 (2005) 2, pp. 191-199

Persistent link: https://www.econbiz.de/10002537370

A conditional autoregressive range model with gamma distribution for financial volatility modelling

Xie, Haibin; Wu, Xinyu - In: Economic modelling 64 (2017), pp. 349-356

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An expanded Local Variance Gamma model

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On the stochastic volatility in the generalized Black-Scholes-Merton model

Ivanov, Roman V. - In: Risks : open access journal 11 (2023) 6, pp. 1-23

This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions. Together with it, we make the assumption that the volatility, the drift, and the interest rate...

Persistent link: https://www.econbiz.de/10014335849