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Non-affine option pricing
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70
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91
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
92
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
93
Calibration of local-stochastic and path-dependent
volatility
models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
94
Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun
;
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Shyu, …
- In:
Review of quantitative finance and accounting
56
(
2021
)
1
,
pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
Saved in:
95
Bayesian calibration and number of jump components in electricity spot price models
Gonzalez, Jhonny
;
Moriarty, John
;
Palczewski, Jan
- In:
Energy economics
65
(
2017
),
pp. 375-388
Persistent link: https://www.econbiz.de/10011803998
Saved in:
96
Convenience yield in commodity price modeling : a regime switching approach
Almansour, Abdullah
- In:
Energy economics
53
(
2016
),
pp. 238-247
Persistent link: https://www.econbiz.de/10011660523
Saved in:
97
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic
volatility
models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
98
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán
;
Constantinou, Nick
- In:
Journal of empirical finance
53
(
2019
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Saved in:
99
Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
Saved in:
100
A stochastic
volatility
model with realized measures for option pricing
Bormetti, Giacomo
;
Casarin, Roberto
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
Saved in:
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