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Drawbacks and limitations of Black-Scholes model for options pricing

Janková, Zuzana - In: Journal of financial studies & research : JFSR 2018 (2018), pp. 1-7

Persistent link: https://www.econbiz.de/10011977593

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models

Brigo, Damiano; Dalessandro, Antonio; Neugebauer, Matthias - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 365-393

Persistent link: https://www.econbiz.de/10003907277

Modelling financial time series

Taylor, Stephen - 2007 - 2. edition

Persistent link: https://www.econbiz.de/10003553502

Modelling financial time series with SEMIFAR-GARCH model

Feng, Yuanhua; Beran, Jan; Yu, Keming - 2007

A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper...

Persistent link: https://www.econbiz.de/10003876744

American option pricing with discrete and continuous time models : an empirical comparison

Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902

Persistent link: https://www.econbiz.de/10009492526

Option valuation with observable volatility and jump dynamics

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - 2015

diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …

Persistent link: https://www.econbiz.de/10011377837

Lévy jump risk : evidence from options and returns

Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10010375952

Robustness for path-dependent volatility models

Rosestolato, Mauro; Vargiolu, Tiziano; Villani, Giovanna - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 2, pp. 137-167

Persistent link: https://www.econbiz.de/10010195617

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