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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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Discrete time modeling of mean-reverting stochastic processes for real option valuation
Hahn, Warren J.; Dyer, James S. - In: European journal of operational research : EJOR 184 (2008) 2, pp. 534-548
Persistent link: https://www.econbiz.de/10003768285
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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, hedging, and calibration in jump-diffusion models
Tankov, Peter; Voltchkova, Ekaterina - In: Frontiers in quantitative finance : volatility and …, (pp. 129-160). 2009
Persistent link: https://www.econbiz.de/10003787598
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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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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897