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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Simple robust hedging with nearby contracts
Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
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Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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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
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Monte-Carlo Valuation of Options Under Uncertain Volatility : A Local Quadratic Kernel Regression-Based Method
Gocsei, Arnaud - 2012
We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain volatility model …
Persistent link: https://www.econbiz.de/10013101251
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Implied Volatility from Asian Options Via Monte Carlo Methods
Yang, Zhaojun - 2009
We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this...
Persistent link: https://www.econbiz.de/10013153472
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GARCH pricing and hedging of VIX options
Liu, Qiang; Jiao, Yuhan; Guo, Shuxin - In: The journal of futures markets 42 (2022) 6, pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
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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 …
Persistent link: https://www.econbiz.de/10012484130