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Empirical study of Nikkei 225 options with the Markov switching GARCH model

Satoyoshi, Kiyotaka; Mitsui, Hidetoshi - In: Asia-Pacific financial markets 18 (2011) 1, pp. 55-68

Persistent link: https://www.econbiz.de/10009237749

Characteristic functions in the Cheyette Interest Rate Model

Beyna, Ingo; Wystup, Uwe - 2011

We investigate the characteristic functions of multi-factor Cheyette Models and the application to the valuation of interest rate derivatives. The model dynamic can be classiffied as an affine-diffusion process implying an exponential structure of the characteristic function. The characteristic...

Persistent link: https://www.econbiz.de/10008937500

Asset prices with regime-switching variance gamma dynamics

Royal, Andrew J.; Elliott, Robert J. - 2009

Persistent link: https://www.econbiz.de/10003827090

Default-risky bond prices with jumps, liquidity risk and incomplete information

Jeanblanc, Monique; Valchev, Stoyan - In: Decisions in economics and finance : DEF ; a journal of … 30 (2007) 2, pp. 109-136

Persistent link: https://www.econbiz.de/10003630273

Pricing with finite dimensional dependence

Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417

Persistent link: https://www.econbiz.de/10011499694

Option pricing with non-Gaussian scaling and infinite-state switching volatility

Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497

Persistent link: https://www.econbiz.de/10011499748

What is beneath the surface? : option pricing with multifrequency latent states

Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511

Persistent link: https://www.econbiz.de/10011499779

Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011478467

A Dupire equation for a regime-switching model

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011403770

Computation of reservation prices of options with proportional transaction costs

Damgaard, Anders - In: Journal of economic dynamics & control 30 (2006) 3, pp. 415-444

Persistent link: https://www.econbiz.de/10003289311

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