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The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

A novel Fourier transform B-spline method for option pricing

Haslip, Gareth G.; Kaishev, Vladimir K. - In: The journal of computational finance 19 (2015) 1, pp. 41-74

Persistent link: https://www.econbiz.de/10011480709

Does model misspecification matter for hedging? : a computational finance experiment based approach

Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011403136

Calibration of stochastic volatility models via second-order approximation : the Heston case

Alòs, Elisa; Santiago Hernando, Rafael de; Vives, Josep - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-31

Persistent link: https://www.econbiz.de/10011403898

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

Persistent link: https://www.econbiz.de/10011412294

Option pricing under stochastic volatility and tempered stable Lévy jumps

Zaevski, Tsvetelin S.; Kim, Young Shin; Fabozzi, Frank J. - In: International review of financial analysis 31 (2014), pp. 101-108

Persistent link: https://www.econbiz.de/10010461532

The SINC way : a fast and accurate approach to Fourier pricing

Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446

Persistent link: https://www.econbiz.de/10013167768

Tempered stable processes with time-varying exponential tails

Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561

Persistent link: https://www.econbiz.de/10013167779

Probabilistic machine learning for local volatility

Tegnér, Martin; Roberts, Stephen - In: The journal of computational finance 25 (2021) 3, pp. 1-50

Persistent link: https://www.econbiz.de/10012873079

Informative option portfolios in filter design for option pricing models

Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965

Persistent link: https://www.econbiz.de/10012515627