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Simple robust hedging with nearby contracts

Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10011658670

A stochastic volatility model with realized measures for option pricing

Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 856-871

Persistent link: https://www.econbiz.de/10012313375

A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent volatility and interest rate

Kim, Sangkwon; Lyu, Jisang; Lee, Wonjin; Park, Eunchae; … - In: Computational economics 63 (2024) 5, pp. 2069-2086

Persistent link: https://www.econbiz.de/10014550869

SABR equipped with AI wings

Funahashi, Hideharu - In: Quantitative finance 23 (2023) 2, pp. 229-249

Persistent link: https://www.econbiz.de/10014232624

JDOI variance reduction method and the pricing of American-style options

Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656

Persistent link: https://www.econbiz.de/10013367843

A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil

Argento, Pedro; Klotzle, Marcelo Cabus; Pinto, Antônio … - In: International journal of energy sector management 16 (2022) 3, pp. 448-468

Persistent link: https://www.econbiz.de/10013345666

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model

Bourgey, Florian; De Marco, Stefano - In: The journal of computational finance 26 (2022) 2, pp. 53-82

Persistent link: https://www.econbiz.de/10013549658

Pricing Autocallables under Local-Stochastic Volatility

Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022

-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … match the implied volatility smile and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …

Persistent link: https://www.econbiz.de/10013491888

Least squares Monte Carlo methods in stochastic Volterra rough volatility models

Guerreiro, Henrique; Guerra, João - In: The journal of computational finance 26 (2022) 3, pp. 73-101

Persistent link: https://www.econbiz.de/10014314563

Shot-noise cojumps : exact simulation and option pricing

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 74 (2023) 3, pp. 647-665

Persistent link: https://www.econbiz.de/10014331928