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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
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A general theory of option pricing
Geršôn, Dāwid - In: Options - 45 years since the publication of the …, (pp. 293-330). 2023
Persistent link: https://www.econbiz.de/10014366656
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Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
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The continuous limit of weak GARCH
Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
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Endogenous option pricing
Gamba, Andrea; Saretto, Alessio - 2022
Persistent link: https://www.econbiz.de/10013170529
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Option pricing under stochastic volatility models with latent volatility
Bégin, Jean-François; Godin, Frédéric - In: Quantitative finance 23 (2023) 7/8, pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
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Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura; Rayée, Grégory - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1145-1161
Persistent link: https://www.econbiz.de/10013206930
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Artificial neural network for option pricing with and without asymptotic correction
Funahashi, Hideharu - In: Quantitative finance 21 (2021) 4, pp. 575-592
Persistent link: https://www.econbiz.de/10012483840
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An unsupervised deep learning approach to solving partial integro-differential equations
Fu, Weilong; Hirsa, Ali - In: Quantitative finance 22 (2022) 8, pp. 1481-1494
Persistent link: https://www.econbiz.de/10013367923
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Arbitrage-free neural-SDE market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 30 (2023) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10014390284