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Quanto pre-washing for jump diffusion models
Wong, Hoi Ying; Lau, Ka Yung - In: Recent advances in financial engineering : proceedings …, (pp. 219-230). 2009
Persistent link: https://www.econbiz.de/10003871197
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The econometrics of option pricing
Garcia, René; Ghysels, Eric; Renault, Eric - 2010
Persistent link: https://www.econbiz.de/10003900680
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MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732
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An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: The journal of futures markets 29 (2009) 9, pp. 862-893
Persistent link: https://www.econbiz.de/10003900928
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A general formula for option prices in a stochastic volatility model
Ching, Stephen; Dufresne, Daniel - 2009
Persistent link: https://www.econbiz.de/10003901912
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Stochastic volatility and option pricing
Dufresne, Daniel - 2009
Persistent link: https://www.econbiz.de/10003901917
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FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2009
Persistent link: https://www.econbiz.de/10003901919
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Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
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A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models
Brigo, Damiano; Dalessandro, Antonio; Neugebauer, Matthias - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 365-393
Persistent link: https://www.econbiz.de/10003907277
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Exotic option, stochastic volatility and incentive scheme
Tang, J.; Yau, S. S.-T. - In: Computational finance and its applications II : [Second …, (pp. 183-192). 2006
Persistent link: https://www.econbiz.de/10003410142