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Implied volatility in option prices and the lead-lag relation between stock and option prices

Boyle, Phelim P.; Park, Hun Y. - 1994

Persistent link: https://www.econbiz.de/10000952926

The lead-lag relation between spot and option markets and implied volatility in option prices

Boyle, Phelim P.; Byoun, Soku; Park, Hun Y. - In: Research in finance 19 (2002), pp. 269-284

Persistent link: https://www.econbiz.de/10001717576

Pricing lookback and barrier options under the CEV process

Boyle, Phelim P.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 241-264

Persistent link: https://www.econbiz.de/10001436318

Calibrating the Black-Derman-Toy model: some theoretical results

Boyle, Phelim; Tan, Ken Seng; Tian, Weidong - In: Applied Mathematical Finance 8 (2001) 1, pp. 27-48

The Black-Derman-Toy (BDT) model is a popular one-factor interest rate model that is widely used by practitioners. One of its advantages is that the model can be calibrated to both the current market term structure of interest rate and the current term structure of volatilities. The input term...

Persistent link: https://www.econbiz.de/10005495413

Prices and asymptotics for discrete variance swaps

Bernard, Carole; Cui, Zhenyu - In: Applied mathematical finance 21 (2014) 1/2, pp. 140-173

Persistent link: https://www.econbiz.de/10010352006

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

Comment on 'The Large-Maturity Smile for the Heston Model'

Bernard, Carole - 2012

Reformulating the results of del Baño Rollin, Ferreiro-Castilla, and Utzet (2010), we are able to give necessary and sufficient conditions for the moments of the stock price to exist and extend Theorem 2.1 of Forde and Jacquier (2011). Precisely Forde and Jacquier (2011) provide necessary...

Persistent link: https://www.econbiz.de/10013108844

On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

Bernard, Carole - 2014

Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi c and Urusov (2012c) give necessary and sufficient conditions in the case of...

Persistent link: https://www.econbiz.de/10013062701

Semi-analytical prices for lookback and barrier options under the Heston model

De Gennaro Aquino, Luca; Bernard, Carole - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 715-741

Persistent link: https://www.econbiz.de/10012127317

On the martingale property in stochastic volatility models based on time-homogeneous diffusions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 194-223

Persistent link: https://www.econbiz.de/10011739452