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Nonparametric filtering of conditional state-price densities

Dalderop, Jeroen - In: Journal of econometrics 214 (2020) 2, pp. 295-325

Persistent link: https://www.econbiz.de/10012438391

Market implied GDP

Ntantanis, Harris; Pohlman, Lawrence - In: The journal of asset management 21 (2020) 7, pp. 636-646

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A modified stochastic volatility model based on Gamma Ornstein-Uhlenbeck process and option pricing

Mi, Yanhui - In: International journal of financial engineering 3 (2016) 2, pp. 1-16

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Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse

Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322

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A new improvement scheme for approximation methods of probability density functions

Takahashi, Akihiko; Tsuzuki, Yukihiro - In: The journal of computational finance 19 (2016) 4, pp. 73-94

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Explaining the volatility smile : non-parametric versus parametric option models

Lin, Hsuan-Chu; Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 46 (2016) 4, pp. 907-935

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Test of recent advances in extracting information from option prices

Healy, J. V.; Gregoriou, Andros; Hudson, Robert - In: International review of financial analysis 56 (2018), pp. 292-302

Persistent link: https://www.econbiz.de/10012006295

Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model

Thul, Matthias; Zhang, Ally Quan - 2014 - Last Update: May 1, 2014

We generalize the Kou (2002) double exponential jump-diffusion model in two directions. First, we independently displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to follow a gamma distribution with an integer-valued shape...

Persistent link: https://www.econbiz.de/10011875854

Option implied risk-neutral density estimation : a robust and flexible method

Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 54 (2019) 2, pp. 705-728

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Nonparametric predictive inference for European option pricing based on the binomial tree model

He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708

Persistent link: https://www.econbiz.de/10012214368