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Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Options - 45 years since the publication of the …, (pp. 127-172). 2023

Persistent link: https://www.econbiz.de/10014366596

On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison

Shi, Shuping; Yu, Jun; Zhang, Chen - 2023

Persistent link: https://www.econbiz.de/10014320456

Fractional Brownian motion in option pricing and dynamic delta hedging : experimental simulations

Dufera, Tamirat Temesgen - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10014445631

Variation and share-weighted variation swaps on time-changed Lévy processes

Carr, Peter; Lee, Roger - In: Finance and stochastics 17 (2013) 4, pp. 685-716

Persistent link: https://www.econbiz.de/10010190886

Variance swap replication : discrete or continuous?

Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

Persistent link: https://www.econbiz.de/10011855148

Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"

Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 36 (2012) 5, pp. 716-718

Persistent link: https://www.econbiz.de/10009554307

American option pricing with discrete and continuous time models : an empirical comparison

Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902

Persistent link: https://www.econbiz.de/10009492526

Robustness of distance-to-default

Jessen, Cathrine; Lando, David - In: Journal of banking & finance 50 (2015), pp. 493-505

Persistent link: https://www.econbiz.de/10010510191

Joint pricing of VIX and SPX options with stochastic volatility and jump models

Kokholm, Thomas; Stisen, Martin - In: Journal of risk finance : the convergence of financial … 16 (2015) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10010513370

Joining the Heston and a three-factor short rate model : a closed-form approach

Horsky, Roman; Sayer, Tilman - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-17

Persistent link: https://www.econbiz.de/10011419421