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Expansion formulas for European quanto options in a local volatility FX-LIBOR model

Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10011854564

Anchoring-adjusted option pricing models

Siddiqi, Hammad - In: The journal of behavioral finance : a publication of … 20 (2019) 2, pp. 139-153

Persistent link: https://www.econbiz.de/10012180471

Compound option pricing under stochastic volatility

Leccadito, Arturo; Russo, Emilio - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 97-110

Persistent link: https://www.econbiz.de/10011742310

An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach

Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373

Persistent link: https://www.econbiz.de/10011619975

Exploring option pricing and hedging via volatility asymmetry

Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039

Persistent link: https://www.econbiz.de/10012543248

Variance Gamma process in the option pricing model

Drahokoupil, Jakub - 2021

Persistent link: https://www.econbiz.de/10012493120

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price Under Stochastic Volatility Model

Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro - 2014

certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed …

Persistent link: https://www.econbiz.de/10014162264

Historical Backtesting of Local Volatility Model Using AUD/USD Vanilla Options

Ling, Timothy; Shevchenko, Pavel V. - 2015

The local volatility model is a well-known extension of the Black-Scholes constant volatility model whereby the … volatility is dependent on both time and the underlying asset. This model can be calibrated to provide a perfect fit to a wide … range of implied volatility surfaces. The model is easy to calibrate and still very popular in foreign exchange option …

Persistent link: https://www.econbiz.de/10014131250

A stochastic programming model for dynamic portfolio management with financial derivatives

Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013463145

Financial market disruption and investor awareness : the case of implied volatility skew

Siddiqi, Hammad - In: Quantitative finance and economics 6 (2022) 3, pp. 505-517

Persistent link: https://www.econbiz.de/10013499509