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Capturing implied correlation skew from options prices via multiscale stochastic volatility models
Pellegrino, T. - In: International journal of financial engineering 7 (2020) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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Pricing swaps on discrete realized higher moments under the lévy process
Zhu, Wenli; Ruan, Xinfeng - In: Computational economics 53 (2019) 2, pp. 507-532
Persistent link: https://www.econbiz.de/10012134734
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Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
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Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
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Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif; Talukdar, Bakhtear; Kabir, M. Humayun; … - In: Review of quantitative finance and accounting 62 (2024) 1, pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
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Bayesian SVLEDEJ model for detecting jumps in logarithmic growth rates of one month forward gas contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 8 (2016) 3, pp. 161-179
Persistent link: https://www.econbiz.de/10011634897
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A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps
Hofmann, Karl Friedrich; Schulz, Thorsten - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10011686739
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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060