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Capital structure models and contingent convertible securities
Meng, Di; Metzler, Adam; Reesor, R. Mark - In: Risks : open access journal 12 (2024) 3, pp. 1-35
securities (CoCos). Typical studies involving capital structure model calibration focus on non-financial firms as they have lower …
Persistent link: https://www.econbiz.de/10014497414
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Joint pricing of VIX and SPX options with stochastic volatility and jump models
Kokholm, Thomas; Stisen, Martin - In: Journal of risk finance : the convergence of financial … 16 (2015) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10010513370
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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
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R-2GAM stochastic volatility model : flexibility and calibration
Lee, Cheng F.; Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 45 (2015) 3, pp. 463-483
Persistent link: https://www.econbiz.de/10011531991
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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
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Empirical performance of stochastic volatility option pricing models
Stilger, Przemyslaw S.; Ngoc Quynh Anh Nguyen; Tri Minh … - In: International journal of financial engineering 8 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012654781
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Calibrating local volatility models with stochastic drift and diffusion
Ögetbil, Orcan; Ganesan, Narayan; Hientzsch, Bernhard - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-43
Persistent link: https://www.econbiz.de/10013189965
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Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
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Mathematical analysis of financial model on market price with stochastic volatility
Mondal, Mitun Kumar; Alim, Md. Abdul; Rahman, Md. Faizur; … - In: Journal of mathematical finance 7 (2017) 2, pp. 351-365
Persistent link: https://www.econbiz.de/10011673935