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The extended SSVI volatility surface
Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/2019) 5, pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
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Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context
Flint, Emlyn; Maré, E. - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011773296
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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A. - In: Quantitative finance 22 (2022) 12, pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
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FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS
PISTORIUS, MARTIJN; STOLTE, JOHANNES - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250031-1
, the corresponding Black-Scholes implied volatility surface. To achieve this, rational function approximations of the …
Persistent link: https://www.econbiz.de/10010552940
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Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106
Persistent link: https://www.econbiz.de/10011392906
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On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
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A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323
Persistent link: https://www.econbiz.de/10011544516
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Too much of a good thing? : a review of volatility extensions in Black-Scholes
Kermiche, Lamya - In: The journal of applied business research 30 (2014) 4, pp. 1171-1182
Persistent link: https://www.econbiz.de/10010400603
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A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes
Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
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Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh; Shahiki Tash, Mohammad Nabi - In: Iranian economic review : journal of University of Tehran 26 (2022) 2, pp. 369-388
Persistent link: https://www.econbiz.de/10013365654