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Applications of Fourier transform to smile modeling : theory and implementation

Zhu, Jianwei - 2010 - 2., ed.

Persistent link: https://www.econbiz.de/10003834547

Conditional Gauss-Hermite filtering with application to volatility estimation

Singer, Hermann - 2008

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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations

Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127

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Valuing options in Heston's stochastic volatility model : another analytical approach

Frontczak, Robert - 2009 - Version [2]

We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the...

Persistent link: https://www.econbiz.de/10003921631

Profitability of time series momentum

He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157

Persistent link: https://www.econbiz.de/10011377714

Pricing joint claims on an asset and its realized variance in stochastic volatility models

Torricelli, Lorenzo - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-18

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Multifractional stochastic volatility models

Corlay, Sylvain; Lebovits, Joachim; Lévy Véhel, Jacques - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 364-402

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Herding, trend chasing and market volatility

Di Guilmi, Corrado; He, Xue-zhong; Li, Kai - In: Journal of economic dynamics & control 48 (2014), pp. 349-373

Persistent link: https://www.econbiz.de/10010486646

Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process

Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216

Persistent link: https://www.econbiz.de/10009703683

Representation of American option prices under Heston stochastic volatility dynamics using integral transforms

Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan - In: Contemporary quantitative finance : essays in honour of …, (pp. 281-315). 2010

Persistent link: https://www.econbiz.de/10008749199