Narrow search
Showing 1 - 10 of 262,758
Cover Image
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43
Persistent link: https://www.econbiz.de/10011854564
Cover Image
Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
Baptiste, Julien; Lépinette, Emmanuel - In: Applied mathematical finance 25 (2018) 5/6, pp. 511-532
Persistent link: https://www.econbiz.de/10012129179
Cover Image
A One-Factor Volatility Smile Model with Closed-Form Solutions for European Options
Li, Anlong - 2006
imposes inconsistent assumptions on underlying securities. The phenomenon is referred to as the volatility smile. This paper … function we obtain a wide range of shapes of implied volatility curves with respect to option strikes. The model has closed …
Persistent link: https://www.econbiz.de/10014055229
Cover Image
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
Cover Image
Zum Hedging europäischer Aktienoptionen bei stochastischen Volatilitäten
Holtrode, Rainer - 2000
Persistent link: https://www.econbiz.de/10001498200
Cover Image
Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
Cover Image
Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - 1998
Persistent link: https://www.econbiz.de/10000993233
Cover Image
Risk Managing Long-Dated Smile Risk with SABR Formula
Moni, Claudio - 2014
used, in particular for long expiries and in high volatility environments. For example, we obtain positive sensitivities to …
Persistent link: https://www.econbiz.de/10013062318
Cover Image
Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations
Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161
Persistent link: https://www.econbiz.de/10010190161
Cover Image
Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Ma, Yong-Ki - In: Computational economics 55 (2020) 1, pp. 185-210
Persistent link: https://www.econbiz.de/10012222596