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Rough-heston local-volatility...
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44
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ECONIS (ZBW)
32,399
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1
Calibration of local-stochastic and path-dependent
volatility
models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
2
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
3
Empirical study of Nikkei 225 options with the Markov switching GARCH model
Satoyoshi, Kiyotaka
;
Mitsui, Hidetoshi
- In:
Asia-Pacific financial markets
18
(
2011
)
1
,
pp. 55-68
Persistent link: https://www.econbiz.de/10009237749
Saved in:
4
Option pricing with non-Gaussian scaling and infinite-state switching
volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
5
Option pricing with Markov switching stochastic
volatility
models
Cheng, Yiying
- In:
Advances in Pacific Basin business, economics, and finance
8
(
2020
),
pp. 53-63
Persistent link: https://www.econbiz.de/10012601380
Saved in:
6
Predicting
volatility
using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i
;
Huang, Teng-ching
;
Lin, Bing-huei
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
Saved in:
7
Option pricing with conditional GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
European journal of operational research : EJOR
289
(
2021
)
1
,
pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
Saved in:
8
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán
;
Constantinou, Nick
- In:
Journal of empirical finance
53
(
2019
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Saved in:
9
Volatility
is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
10
Short-dated smile under rough
volatility
: asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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