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A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles; Fuh, Cheng-der; Lin, Shih-kuei - In: Journal of banking & finance 37 (2013) 8, pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451
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Conjoint analysis of option and volatility models : empirical evidence from recent financial upheavals in India
Singh, Vipul Kumar - In: Journal of emerging market finance 14 (2015) 3, pp. 258-289
Persistent link: https://www.econbiz.de/10011430608
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Hedging strategy comparisons of volatility index options using diffusion models
Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69
Persistent link: https://www.econbiz.de/10011285427
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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Performance of the Heston's stochastic volatility model : a study in Indian index options market
Singh, Shivam; Dixit, Alok - In: Theoretical economics letters 6 (2016) 2, pp. 151-165
Persistent link: https://www.econbiz.de/10011545451
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Empirical performance of alternative option pricing models with stochastic volatility and leverage effects
Jang, Woon Wook; Eom, Young Ho; Kim, Don H. - In: Asia-Pacific journal of financial studies 43 (2014) 3, pp. 432-464
Persistent link: https://www.econbiz.de/10010408040
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Pricing VIX futures : evidence from integrated physical and risk-neutral probability measures
Lin, Yueh-neng - In: The journal of futures markets 27 (2007) 12, pp. 1175-1217
Persistent link: https://www.econbiz.de/10003627193
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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Expectations hypothesis of the term structure of implied volatility : evidence from foreign currency and stock index options
Byoun, Soku; Kwok, Chuck C. Y.; Park, Hun Y. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 126-151
Persistent link: https://www.econbiz.de/10002221002
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Pricing of options under different volatility models
Herzberg, Markus (contributor);  … - 2004
volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …
Persistent link: https://www.econbiz.de/10002569929