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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

A closed-form expansion approach for pricing discretely monitored variance swaps

Li, Chenxu; Li, Xiaocheng - In: Operations research letters 43 (2015) 4, pp. 450-455

Persistent link: https://www.econbiz.de/10011372393

Understanding delta-hedged option returns in stochastic volatility environments

Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184

Persistent link: https://www.econbiz.de/10011377526

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

Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model

Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98

Persistent link: https://www.econbiz.de/10011298899

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

Persistent link: https://www.econbiz.de/10011333083

Recovering statistical theory in the context of model calibrations

Madan, Dilip B. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 260-292

Persistent link: https://www.econbiz.de/10011339334

A comparison of biased simulation schemes for stochastic volatility models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2008 - This version: February 6, 2008

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …

Persistent link: https://www.econbiz.de/10011349176

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

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