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Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - In: Operations research letters 43 (2015) 4, pp. 419-422

Persistent link: https://www.econbiz.de/10011372401

Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344235

The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index

Hambly, Ben; Vaicenavicius, Juozas - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10011403929

Stochastic dominance bounds on derivatives price in a multiperiod economy with proportional transaction costs

Kōnstantinidēs, Giōrgos; Perrakis, Stylianos - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1323-1352

Persistent link: https://www.econbiz.de/10001656093

Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market

Fulop, Andras - 2010

-space model of bid and ask quotes to infer the dynamics of volatility and transaction costs. The estimation uses new techniques … based on particle filtering and the Monte Carlo EM algorithm. Empirical results indicate that the volatility of the …

Persistent link: https://www.econbiz.de/10013150232

New solvable stochastic volatility models for pricing volatility derivatives

Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134

Persistent link: https://www.econbiz.de/10009774404

Pricing joint claims on an asset and its realized variance in stochastic volatility models

Torricelli, Lorenzo - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009725085

Volatility derivatives in market models with jumps

Lo, Harry; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193

Persistent link: https://www.econbiz.de/10009407653

Saddlepoint approximation methods for pricing derivatives on discrete realized variance

Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31

Persistent link: https://www.econbiz.de/10010351861

Bessel processes, stochastic volatility, and timer options

Li, Chenxu - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 122-148

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