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The pricing of derivatives on assets with quadratic volatility

Zühlsdorff, Christian - 2002

The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees positive asset prices. In this paper it...

Persistent link: https://www.econbiz.de/10011539634

Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms

Andam, Perpetual Saah; Ackora-Prah, Joseph; … - In: Journal of mathematical finance 7 (2017) 3, pp. 633-656

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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

Persistent link: https://www.econbiz.de/10011705111

Vix modeling for a market insider

Hess, Markus - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-27

Persistent link: https://www.econbiz.de/10014497258

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

Pricing electricity forwards under future information on the stochastic mean-reversion level

Hess, Markus - In: Decisions in economics and finance : a journal of … 43 (2020) 2, pp. 751-767

Persistent link: https://www.econbiz.de/10012427666

Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062

Persistent link: https://www.econbiz.de/10012495249

Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

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Overnight GARCH-Itô volatility models

Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227

Persistent link: https://www.econbiz.de/10014448607

Volatility risk structure for options depending on extrema

Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122

Persistent link: https://www.econbiz.de/10011848359