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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Stochastic volatility and option pricing
Jiang, George J. - In: Forecasting volatility in the financial markets, (pp. 131-171). 2007
Persistent link: https://www.econbiz.de/10003872887
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The econometrics of option pricing
Garcia, René; Ghysels, Eric; Renault, Eric - 2010
Persistent link: https://www.econbiz.de/10003900680
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Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004
Persistent link: https://www.econbiz.de/10003487959
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Implizite Volatilitäten von Eurex Optionen : eine empirische Untersuchung zur Fair Value Ermittlung von OTC Aktienoptionen auf Basis der impliziten Volatilität von Eurex Aktienopti...
Spindler, Oliver - In: Beiträge zu aktuellen Finanzmarktthemen : Bondholder …, (pp. 191-311). 2007
Persistent link: https://www.econbiz.de/10003477333
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Managing derivatives in the presence of a smile effect and incomplete information
Bellalah, Mondher - In: Risk management and value : valuation and asset price, (pp. 1-10). 2008
Persistent link: https://www.econbiz.de/10003686148
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Exotic derivatives under stochastic volatility models with jumps
Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Advanced mathematical methods for finance, (pp. 455-508). 2011
Persistent link: https://www.econbiz.de/10008991275
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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
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Estimation of an EGARCH volatility option pricing model using a bacteria foraging optimisation algorithm
Dang, Jing; Brabazon, Anthony; O'Neill, Michael; … - In: Natural computing in computational finance ; [the …, (pp. 109-127). 2008
Persistent link: https://www.econbiz.de/10009515172
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Least squares kernel smoothing of the implied volatility smile
Fengler, Matthias R.; Wang, Qihua - In: Applied quantitative finance, (pp. 193-207). 2009
Persistent link: https://www.econbiz.de/10003746018