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Explicit implied volatilities for multifactor local-stochastic volatility models

Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 926-960

Persistent link: https://www.econbiz.de/10011764989

Introducing two mixing fractions to a lognormal local-stochastic volatility model

Lee, Geoffrey; Owens, Bowie; Zhu, Zili - In: The journal of computational finance 24 (2020) 3, pp. 41-58

Persistent link: https://www.econbiz.de/10012543634

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

Improving the term structure of interest rates : two-factor models

Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287

Persistent link: https://www.econbiz.de/10008702343

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773

Option pricing: channels, target zones and sideways markets

Kakushadze, Zura - In: Bulletin of applied economics 7 (2020) 2, pp. 25-33

Persistent link: https://www.econbiz.de/10012813830

Rare disasters, credit, and option market puzzles

Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364

Persistent link: https://www.econbiz.de/10011684726

Drawbacks and limitations of Black-Scholes model for options pricing

Janková, Zuzana - In: Journal of financial studies & research : JFSR 2018 (2018), pp. 1-7

Persistent link: https://www.econbiz.de/10011977593

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