Similar Search Results

An empirical comparison of the performance of alternative option pricing models

Ferreira, Eva; Gago, Mónica; León Valle, Ángel Manuel; … - In: Investigaciones económicas 29 (2005) 3, pp. 483-523

Persistent link: https://www.econbiz.de/10003317868

A semi-explicit approach to Canary swaptions in HJM one-factor model

Henrard, Marc - In: Applied mathematical finance 13 (2006) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10003320021

Market moves and the information content of option prices

McIntyre, Michael L.; Jackson, David - In: International review of economics & finance : IREF 18 (2009) 2, pp. 327-340

Persistent link: https://www.econbiz.de/10003832749

Option valuation with long-run and short-run volatility components

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297

Persistent link: https://www.econbiz.de/10003833351

Applications of Fourier transform to smile modeling : theory and implementation

Zhu, Jianwei - 2010 - 2., ed.

Persistent link: https://www.econbiz.de/10003834547

Regression methods for stochastic control problems and their convergence analysis

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2009

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...

Persistent link: https://www.econbiz.de/10003835132