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Modeling volatility in foreign currency option pricing
Hoque, Ariful; Chan, Felix; Manzur, Meher - In: Multinational finance journal : MF ; quarterly … 13 (2009) 3/4, pp. 189-208
Persistent link: https://www.econbiz.de/10008654497
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Valuing options in Heston's stochastic volatility model : another analytical approach
Frontczak, Robert - 2009 - Version [2]
We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based …'s solution based on Fourier inversion and investigate the accuracy of the derived pricing formulae. -- Stochastic volatility …
Persistent link: https://www.econbiz.de/10003921631
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Vega control
Denson, Nick; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924360
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Implied volatility at expiration
Medvedev, Alexey N. - 2008
under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the … implied volatility smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in … stochastic volatility …
Persistent link: https://www.econbiz.de/10003961401
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Two problems in financial engineering
Chen, Nan - 2006
Persistent link: https://www.econbiz.de/10003965291
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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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Collateral Smile
Leippold, Markus; Su, Lujing - 2011
prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
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Libor Market Models with stochastic volatility and CMS spread option pricing
Lutz, Matthias - 2011
Persistent link: https://www.econbiz.de/10009375797
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Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011
equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information … are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of … pricing ; implied volatility. …
Persistent link: https://www.econbiz.de/10009379446
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An empirical comparative analysis of foreign exchange smile calibration procedures
Reiswich, Dimitri - In: The journal of computational finance 15 (2011/12) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10009382525