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High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids
Düring, Bertram - 2014
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non …
Persistent link: https://www.econbiz.de/10013063458
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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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
Persistent link: https://www.econbiz.de/10011577132
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Hedging of time discrete auto-regressive stochastic volatility options
Badescu, Alexandru; Castillo, Joan del; Ortega, Juan-Pablo - In: Annals of economics and statistics 123/124 (2016), pp. 271-306
Persistent link: https://www.econbiz.de/10011592752
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How fundamental is the one-period trinomial model to European option pricing bounds : a new methodological approach
Braouezec, Yann - In: Finance research letters 21 (2017), pp. 92-99
Persistent link: https://www.econbiz.de/10011807511
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Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model
Bertsimas, Dimitris - 1997
-dependent options and options on assets with stochastic volatility and jumps. " …
Persistent link: https://www.econbiz.de/10012472561
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Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
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Pricing of derivatives on mean-reverting assets
Lutz, Björn - 2010
stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …
Persistent link: https://www.econbiz.de/10003846466
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Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur
Hausmann, Wilfried - 2007
Persistent link: https://www.econbiz.de/10003635776
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MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732