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Optimal Fourier inversion in semi-analytical option pricing
Lord, Roger; Kahl, Christian - 2007 - This version: 10th May 2007
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011349177
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Why the rotation count algorithm works
Lord, Roger; Kahl, Christian - 2006 - This version: July 17th, 2006
The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all …
Persistent link: https://www.econbiz.de/10011349189
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Deep learning-based option pricing for Barndorff-Nielsen and Shephard model
Arai, Takuji - In: International journal of financial engineering 10 (2023) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10014444476
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Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
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An adaptive Filon quadrature for stochastic volatility models
Le Floc'h, Fabien - In: The journal of computational finance 22 (2018) 3, pp. 65-88
Persistent link: https://www.econbiz.de/10011988193
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Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
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Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation
Jiang, George J.; Sluis, Pieter J. van der - 1998
While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …
Persistent link: https://www.econbiz.de/10011284060
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
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A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo; Correira-da-Silva, João - In: Review of derivatives research 17 (2014) 2, pp. 125-159
Persistent link: https://www.econbiz.de/10010529639
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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431