Similar Search Results

A recombining tree method for option pricing with state-dependent switching rates

Jiang, J. X.; Liu, Rui Hua; Nguyen, D. - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10011455022

Herding and stochastic volatility

Farkas, Walter; Necula, Ciprian; Waelchli, Boris - 2015 - This version: 30 September 2015

In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the underlying is endogenously determined from micro-foundations. The interaction and herding of the agents trading the underlying asset induce an amplification of the volatility of...

Persistent link: https://www.econbiz.de/10011507732

An analytic formula for pricing American-style convertible bonds in a regime switching model

Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428

Persistent link: https://www.econbiz.de/10011515674

Saddlepoint approximations to option price in a regime-switching model

Zhang, Mengzhe; Chan, Leunglung - In: Annals of finance 12 (2016) 1, pp. 55-69

Persistent link: https://www.econbiz.de/10011555421

Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture

Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10010473521

A robust nNumerical scheme for pricing American options under regime switching based on penalty method

Zhang, K.; Teo, Kok Lay; Swartz, M. - In: Computational economics 43 (2014) 4, pp. 463-483

Persistent link: https://www.econbiz.de/10010396243

Pricing of discount bonds with a Markov switching regime

Elliott, Robert J.; Nishide, Katsumasa - In: Annals of finance 10 (2014) 3, pp. 509-522

Persistent link: https://www.econbiz.de/10010399761

Pricing currency derivatives with Markov-modulated Lévy dynamics

Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76

Persistent link: https://www.econbiz.de/10010402730

Heat kernel models for asset pricing

Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34

Persistent link: https://www.econbiz.de/10010498834

An improved Markov chain approximation methodology : derivatives pricing and model calibration

Lo, Chia Chun; Skindilias, Konstantinos - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-22

Persistent link: https://www.econbiz.de/10010498837

A service of the

zbw