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A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes

Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323

Persistent link: https://www.econbiz.de/10011544516

Too much of a good thing? : a review of volatility extensions in Black-Scholes

Kermiche, Lamya - In: The journal of applied business research 30 (2014) 4, pp. 1171-1182

Persistent link: https://www.econbiz.de/10010400603

A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes

Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177

Persistent link: https://www.econbiz.de/10011846254

Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)

Dinarzehi, Khadijeh; Shahiki Tash, Mohammad Nabi - In: Iranian economic review : journal of University of Tehran 26 (2022) 2, pp. 369-388

Persistent link: https://www.econbiz.de/10013365654

Quadratic Hedging Schemes for Non-Gaussian GARCH Models

Badescu, Alex - 2014

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models … probability measure in this setting, we construct local risk minimization hedging strategies with respect to a pricing kernel … schemes. We also test the sensitivity of the hedging strategies with respect to the risk neutral measure used by recomputing …

Persistent link: https://www.econbiz.de/10013065375