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Models for S&P500 dynamics : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.; Jacobs, Kris; Mimouni, Karim - 2008
Persistent link: https://www.econbiz.de/10003861277
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Essays on market frictions and model misspecification in asset pricing
Seeger, Norman - 2009
Persistent link: https://www.econbiz.de/10003863665
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American call options under jump-diffusion processes - a Fourier transform approach
Chiarella, Carl; Ziogas, Andrew - In: Applied mathematical finance 16 (2009) 1/2, pp. 37-79
Persistent link: https://www.econbiz.de/10003847143
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FX options and smile risk
Castagna, Antonio - 2010
Persistent link: https://www.econbiz.de/10003849324
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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard - 2009
Persistent link: https://www.econbiz.de/10003849550
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Nonparametric stochastic volatility
Bandi, Federico M.; Renò, Roberto - 2009
Persistent link: https://www.econbiz.de/10003854417
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Stochastic volatility
Andersen, Torben; Benzoni, Luca - 2009
Persistent link: https://www.econbiz.de/10003880159
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Exotic option pricing in Heston's stochastic volatility model
Griebsch, Susanne A. - 2008
Persistent link: https://www.econbiz.de/10003881039
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Nonparametric inference of discretely sampled stable Lévy processes
Zhao, Zhibiao; Wu, Wei Biao - In: Journal of econometrics 153 (2009) 1, pp. 83-92
Persistent link: https://www.econbiz.de/10003892656
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Tools and techniques
Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010
Persistent link: https://www.econbiz.de/10003898678