Similar Search Results - EconBiz

Exponentiation of Conditional Expectations Under Stochastic Volatility

Alos, Elisa - 2020

volatility model expressed in forward variance form. As another, we show how to extend the Bergomi Guyon expansion to all orders … in volatility of volatility. Finally, we compute exact expressions under rough volatility, obtaining in particular the …

Persistent link: https://www.econbiz.de/10012854196

Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model

Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106

Persistent link: https://www.econbiz.de/10011392906

On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726

A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes

Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323

Persistent link: https://www.econbiz.de/10011544516

A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes

Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177

Persistent link: https://www.econbiz.de/10011846254

Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)

Dinarzehi, Khadijeh; Shahiki Tash, Mohammad Nabi - In: Iranian economic review : journal of University of Tehran 26 (2022) 2, pp. 369-388

Persistent link: https://www.econbiz.de/10013365654

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

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

Dynamic, nonparametric hedging of European style contigent claims using canonical valuation

Alcock, Jamie; Gray, Philip K. - In: Finance research letters 2 (2005) 1, pp. 41-50

Persistent link: https://www.econbiz.de/10002685784

FX options and smile risk

Castagna, Antonio - 2010

Persistent link: https://www.econbiz.de/10003849324

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