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Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Miao, Daniel Wei-chung; Lin, Xenos Chang-shuo; Chao, … - In: Operations research letters 42 (2014) 1, pp. 27-33
Persistent link: https://www.econbiz.de/10010259274
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Lower bound approximation to basket option values for local volatility jump-diffusion models
Xu, Guoping; Zheng, Harry - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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Pricing forward skew dependent derivatives : multifactor versus single-factor stochastic volatility models
Marabel Romo, Jacinto - In: The journal of futures markets 34 (2014) 2, pp. 124-144
Persistent link: https://www.econbiz.de/10010255495
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016
that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …
Persistent link: https://www.econbiz.de/10011506359
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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture
Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010473521
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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions
Todorov, Viktor; Tauchen, George Eugene - 2011
Persistent link: https://www.econbiz.de/10009561745
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Series expansion of the SABR joint density
Wu, Qi - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 310-345
Persistent link: https://www.econbiz.de/10009613197