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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
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Option pricing under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 87 (2019), pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
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Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
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Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
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Chi-square simulation of the CIR process and the Heston model
Malham, Simon J. A.; Wiese, Anke - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-38
Persistent link: https://www.econbiz.de/10009756062
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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Stochastic volatility and leverage : application to a panel of S&P500 stocks
Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76
Persistent link: https://www.econbiz.de/10011552253
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A closed-form exact solution for pricing variance swaps with stochastic volatility
Zhu, Song-ping; Lian, Guang-hua - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 233-256
Persistent link: https://www.econbiz.de/10008935680
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Pricing and Risk Management with Stochastic Volatility Using Importance Sampling
Stilger, Przemyslaw Stan - 2014
Abstract In this paper, we apply importance sampling to Heston's stochastic volatility model and Bates's stochastic … volatility model with jumps. We propose an effective numerical scheme that dramatically improves the speed of importance sampling … combining it with importance sampling leads to a significant variance reduction for the Greeks. All results are illustrated …
Persistent link: https://www.econbiz.de/10013065164