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Drawbacks and limitations of Black-Scholes model for options pricing
Janková, Zuzana - In: Journal of financial studies & research : JFSR 2018 (2018), pp. 1-7
Persistent link: https://www.econbiz.de/10011977593
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Buy rough, sell smooth
Glasserman, Paul; He, Pu - In: Options - 45 years since the publication of the …, (pp. 89-125). 2023
Persistent link: https://www.econbiz.de/10014366595
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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Exact simulation of the SABR model
Cai, Ning; Song, Yingda; Chen, Nan - In: Operations research 65 (2017) 4, pp. 931-951
Persistent link: https://www.econbiz.de/10011739058
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Exact simulation of the Wishart multidimensional stochastic volatility model
Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun - In: Operations research 65 (2017) 5, pp. 1190-1206
Persistent link: https://www.econbiz.de/10011757326
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Option pricing under incompleteness and stochastic volatility
Hofmann, Norbert - 1992
Persistent link: https://www.econbiz.de/10000834044
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Pricing foreign currency options with stochastic volatility
Melino, Angelo; Turnbull, Stuart M. - 1988
Persistent link: https://www.econbiz.de/10000772329
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Option hedging and implicit volatilities in a stochastic volatility model
Renault, Eric; Touzi, Nizar - 1993 - Rev
Persistent link: https://www.econbiz.de/10000874371
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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