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A general computation scheme for a high-order asymptotic expansion method

Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10009672591

Vorschlag eines Bewertungskonzepts von Zertifikaten

Varmaz, Armin; Fieberg, Christian - In: Kredit und Kapital 45 (2012) 2, pp. 243-266

Persistent link: https://www.econbiz.de/10009580913

Note on an extension of an asymptotic expansion scheme

Takahashi, Akihiko; Toda, Masashi - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-23

Persistent link: https://www.econbiz.de/10009783991

The large-maturity smile for the SABR and CEV-Heston models

Forde, Martin; Pogudin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-20

Persistent link: https://www.econbiz.de/10010243621

The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model

Choi, Jaehyuk; Wu, Lixin - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628256

A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"

Choi, Jaehyuk; Wu, Lixin - In: Quantitative finance 21 (2021) 7, pp. 1083-1086

Persistent link: https://www.econbiz.de/10012588019

A simple model for now-casting volatility series

Breitung, Jörg; Hafner, Christian M. - 2015

Persistent link: https://www.econbiz.de/10011581871

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

Asymptotic expansion formula of option price under multifactor Heston model

Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396

Persistent link: https://www.econbiz.de/10010511560

Expansion method for pricing foreign exchange options under stochastic volatility and interest rates

Nagami, Kenji - In: The journal of computational finance 25 (2021) 2, pp. 29-50

Persistent link: https://www.econbiz.de/10012938885