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Stochastic volatility with an Ornstein-Uhlenbeck process : an extension
Schöbel, Rainer; Zhu, Jianwei - 1998 - Rev.
Persistent link: https://www.econbiz.de/10000676009
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …
Persistent link: https://www.econbiz.de/10003635097
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Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur
Hausmann, Wilfried - 2007
Persistent link: https://www.econbiz.de/10003635776
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Arbitrage-free market models for liquid options
Wissel, Johannes Stefan - 2008
Persistent link: https://www.econbiz.de/10003726013
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How to price efficiently European options in some geometric Lévy processes models?
Quittard-Pinon, François; Randrianarivony, Rivo - In: International journal of business 13 (2008) 4, pp. 301-314
Persistent link: https://www.econbiz.de/10003770610
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
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Dynamic, nonparametric hedging of European style contigent claims using canonical valuation
Alcock, Jamie; Gray, Philip K. - In: Finance research letters 2 (2005) 1, pp. 41-50
Persistent link: https://www.econbiz.de/10002685784
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Testing option pricing models with stochastic volatility, random jump and stochastic interest rate
Jiang, George J. - In: International review of finance 3 (2002) 3/4, pp. 233-272
Persistent link: https://www.econbiz.de/10002504517
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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