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Game Russian options for double exponential jump diffusion processes
Suzuki, Atsuo; Sawaki, Katsushige - In: Journal of mathematical finance 4 (2014) 1, pp. 47-54
Persistent link: https://www.econbiz.de/10010422891
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Simple binomial processes as diffusion approximations in financial models
Nelson, Daniel B.; Ramaswamy, Krishna - 1990
Persistent link: https://www.econbiz.de/10000811122
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Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
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Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
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Option pricing for jump diffussion model with random volatility
Thavaneswaran, A.; Singh, Jagbir - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 496-507
Persistent link: https://www.econbiz.de/10008778699
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Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2010
Persistent link: https://www.econbiz.de/10009161203
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Option pricing for symmetric Lévy returns with applications
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367