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Lévy processes driven by stoch...
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1
Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur
Hausmann, Wilfried
-
2007
Persistent link: https://www.econbiz.de/10003635776
Saved in:
2
MCMC methods for continuous-time financial econometrics
Johannes, Michael
;
Polson, Nicholas G.
-
2010
Persistent link: https://www.econbiz.de/10003900732
Saved in:
3
The role of stochastic
volatility
and return jumps : reproducing
volatility
and higher moments in the KOSPI 200 returns dynamics
Kim, In-joon
;
Baek, In-Seok
;
Noh, Jaesun
;
Kim, Sol
- In:
Review of quantitative finance and accounting
29
(
2007
)
1
,
pp. 69-110
Persistent link: https://www.econbiz.de/10003600092
Saved in:
4
Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.
;
Ramezani, Cyrus A.
- In:
Annals of financial economics
9
(
2014
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
Saved in:
5
Bayesian DEJD model and detection of asymmetry in jump sizes
Kostrzewski, Maciej
- In:
Central European journal of economic modelling and …
7
(
2015
)
1
,
pp. 43-70
Persistent link: https://www.econbiz.de/10011305742
Saved in:
6
Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Hoang, Winsor
- In:
Journal of mathematical finance
4
(
2014
)
4
,
pp. 265-278
Persistent link: https://www.econbiz.de/10011312416
Saved in:
7
Local
volatility
calibration during turbulent periods
Skindilias, Konstantinos
;
Lo, Chia Chun
- In:
Review of quantitative finance and accounting
44
(
2015
)
3
,
pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
Saved in:
8
A fractal version of the Hull-White interest rate model
Hainaut, Donatien
- In:
Economic modelling
31
(
2013
),
pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
Saved in:
9
Option pricing and hedging under a stochastic
volatility
Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
10
Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
30
(
2013
),
pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
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