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Pricing VXX options by modeling VIX directly

Lin, Wei; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 5, pp. 888-922

Persistent link: https://www.econbiz.de/10013187612

Approximate analytic solution for Asian options with stochastic volatility

Lin, Chung-Gee; Chang, Chia-Chang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012667176

The continuous limit of weak GARCH

Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216

Persistent link: https://www.econbiz.de/10012483807

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...

Persistent link: https://www.econbiz.de/10012484130

Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

Kirkby, J. Lars; Nguyen, Duy - In: Annals of finance 16 (2020) 3, pp. 307-351

Persistent link: https://www.econbiz.de/10012496337

Semi-analytical prices for lookback and barrier options under the Heston model

De Gennaro Aquino, Luca; Bernard, Carole - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 715-741

Persistent link: https://www.econbiz.de/10012127317

Fair value accounting in the absence of prudence in accounting standards : an illustration with exotic derivatives

Marabel-Romo, Jacinto; Guiral, Andrés; Crespo Espert, … - In: Spanish journal of finance and accounting 46 (2017) 2/174, pp. 145-167

Persistent link: https://www.econbiz.de/10012128154

Pricing and exercising American options : an asymptotic expansion approach

Li, Chenxu; Ye, Yongxin - In: Journal of economic dynamics & control 107 (2019), pp. 1-32

Persistent link: https://www.econbiz.de/10012312643

A generalization of the recursive integration method for the analytic valuation of American options

Chang, Lung-Fu; Guo, Jia-Hau; Hung, Mao-Wei - In: The journal of futures markets 36 (2016) 9, pp. 887-901

Persistent link: https://www.econbiz.de/10011568657

Using VIX futures to hedge forward implied volatility risk

Lin, Yueh-neng; Lin, Anchor Y. - In: International review of economics & finance : IREF 43 (2016), pp. 88-106

Persistent link: https://www.econbiz.de/10011625539