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Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme

Shi, Guangping; Liu, Xiaoxing; Tang, Pan - In: Finance research letters 16 (2016), pp. 220-229

Persistent link: https://www.econbiz.de/10011656186

A comparison of pricing and hedging performances of equity derivatives models

Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137

Persistent link: https://www.econbiz.de/10011848262

Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model

Thul, Matthias; Zhang, Ally Quan - 2014 - Last Update: May 1, 2014

We generalize the Kou (2002) double exponential jump-diffusion model in two directions. First, we independently displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to follow a gamma distribution with an integer-valued shape...

Persistent link: https://www.econbiz.de/10011875854

Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models

Patel, Kuldip Singh; Mehra, Mani - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10011892590

A bias in the volatility smile

Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90

Persistent link: https://www.econbiz.de/10011930559

Pricing perpetual American lookback options under stochastic volatility

Lee, Min-Ku - In: Computational economics 53 (2019) 3, pp. 1265-1277

Persistent link: https://www.econbiz.de/10012135129

Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models

Pajor, Anna - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 189-211

Persistent link: https://www.econbiz.de/10011742315

Nonparametric estimates of pricing functionals

Marinelli, Carlo; D'Addona, Stefano - In: Journal of empirical finance 44 (2017), pp. 19-35

Persistent link: https://www.econbiz.de/10011817977

Modeling of implied volatility surfaces of nifty index options

Dash, Mihir - In: International journal of financial engineering 6 (2019) 3, pp. 1-11

Persistent link: https://www.econbiz.de/10012314517

Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied volatility

Brigo, Damiano - In: Options - 45 years since the publication of the …, (pp. 47-61). 2023

Persistent link: https://www.econbiz.de/10014366586