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Decomposition formula for rough Volterra stochastic volatility models

Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; … - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-47

Persistent link: https://www.econbiz.de/10012650356

Empirical performance of stochastic volatility option pricing models

Stilger, Przemyslaw S.; Ngoc Quynh Anh Nguyen; Tri Minh … - In: International journal of financial engineering 8 (2021) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012654781

Understanding jumps in high frequency digital asset markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

Persistent link: https://www.econbiz.de/10012657696

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

Accelerating FHS option pricing under linear GARCH

Xie, Haibin; Wu, Xinyu; Fan, Pengying - In: Computational economics 58 (2021) 2, pp. 395-411

Persistent link: https://www.econbiz.de/10012615025

Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity

Fallah, Somayeh; Mehrdoust, Farshid - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 2, pp. 109-120

Persistent link: https://www.econbiz.de/10012616833

Closed-form implied volatility surfaces for stochastic volatility models with jumps

Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu - In: Journal of econometrics 222 (2021) 1,2, pp. 364-392

Persistent link: https://www.econbiz.de/10012619431

Option pricing with Markov switching stochastic volatility models

Cheng, Yiying - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 53-63

Persistent link: https://www.econbiz.de/10012601380

The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model

Boukai, Benzion - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-18

options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this … volatility 'smile', which indicates a likely distortion in the Black-Scholes modeling of such option data. Reflective of entirely … different market expectations, this distortion in the volatility 'smile' appears not to exist in the TLT option data. We provide …

Persistent link: https://www.econbiz.de/10013273577

Assessing the impact of jumps in an option pricing model : a gradient estimation approach

Volk-Makarewicz, Warren; Borovkova, Svetlana; … - In: European journal of operational research : EJOR 298 (2022) 2, pp. 740-751

Persistent link: https://www.econbiz.de/10013206895