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The 4/2 stochastic volatility...
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Showing
1
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10
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66,476
Sort
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date (oldest first)
1
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
Saved in:
2
Analytical solvability and exact simulation in models with affine stochastic
volatility
and Lévy jumps
Zeng, Pingping
;
Xu, Ziqing
;
Jiang, Pingping
;
Kwok, Yue-Kuen
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 842-890
Persistent link: https://www.econbiz.de/10014329916
Saved in:
3
Shot-noise cojumps : exact simulation and option pricing
Qu, Yan
;
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Journal of the Operational Research Society
74
(
2023
)
3
,
pp. 647-665
Persistent link: https://www.econbiz.de/10014331928
Saved in:
4
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
5
Volatility
is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
6
Pricing external barrier options in a regime-switching model
Kim, Jerim
;
Kim, Jeongsim
;
Yoo, Hyun Joo
;
Kim, Bara
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
Saved in:
7
Occupation times of Lévy processes
Wu, Lan
;
Zhang, Xiao
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012655022
Saved in:
8
Unified approach for the affine and non-affine models : an empirical analysis on the S&P 500
volatility
dynamics
Zhu, Shunwei
;
Wang, Bo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1421-1442
Persistent link: https://www.econbiz.de/10012135302
Saved in:
9
Exact simulation of the Ornstein-Uhlenbeck driven stochastic
volatility
model
Li, Chenxu
;
Wu, Linjia
- In:
European journal of operational research : EJOR
275
(
2019
)
2
,
pp. 768-779
Persistent link: https://www.econbiz.de/10011993586
Saved in:
10
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
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