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Bo, Lijun; Song, Renming; Tang, DanLing; Wang, Yongjin; … - In: Insurance / Mathematics & economics 50 (2012) 2, pp. 280-291

Persistent link: https://www.econbiz.de/10009507927

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012

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Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012

Persistent link: https://www.econbiz.de/10009539803

Pricing and hedging barrier options in a hyper-exponential additive model

Jeannin, Marc; Pistorius, Martijn - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 657-681

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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

Parametric inference and dynamic state recovery from option panels

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Persistent link: https://www.econbiz.de/10010202343

Investigating impacts of self-exciting jumps in returns and volatility : a Bayesian learning approach

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Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...

Persistent link: https://www.econbiz.de/10008797695

Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing

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Optionsbewertung mit stochastischer Volatilität : Implementation des Heston-Modells

Muck, Matthias; Rudolf, Markus - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 35 (2006) 6, pp. 325-330

Persistent link: https://www.econbiz.de/10003324884

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