Similar Search Results

Black Scholes Option Pricing Model – Brownian Motion Approach

Sellamuthu, Prabakaran - 2014

Brownian motion has become one of the fundamental building blocks of modern quantitative finance. The mathematical theory of Brownian motion has been applied in contexts ranging far beyond the movement of particles in fluids. Until recently, stock market researchers have confronted the same...

Persistent link: https://www.econbiz.de/10013045879

Smiles & Smirks : A Tale of Factors

Ballotta, Laura - 2018

log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a …-returns and volatility offer the best trade-off between model performance and parsimony …

Persistent link: https://www.econbiz.de/10012933831

Quanto pricing beyond Black-Scholes

Fink, Holger Maria; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 14 (2021) 3, pp. 1-27

Since their introduction, quanto options have steadily gained popularity. Matching Black-Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models....

Persistent link: https://www.econbiz.de/10012520134

Pricing American options with the Runge-Kutta-Legendre finite difference scheme

Le Floc'h, Fabien - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10012652624

Replication scheme for the pricing of European options

Funahashi, Hideharu - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10012652628

Empirical performance of stochastic volatility option pricing models

Stilger, Przemyslaw S.; Ngoc Quynh Anh Nguyen; Tri Minh … - In: International journal of financial engineering 8 (2021) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012654781

CTMC integral equation method for American options under stochastic local volatility models

Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628259

Smiles & smirks : volatility and leverage by jumps

Ballotta, Laura; Rayée, Grégory - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1145-1161

Persistent link: https://www.econbiz.de/10013206930

American Options Under Stochastic Volatility : Control Variates, Maturity Randomization & Multiscale Asymptotics

Agarwal, Ankush - 2015

important problem. As most financial markets exhibit randomly varying volatility, in this paper we introduce an approximation of … American option price under stochastic volatility models. We achieve this by using the maturity randomization method known as … Canadization. The volatility process is characterized by fast and slow scale fluctuating factors. In particular, we study the case …

Persistent link: https://www.econbiz.de/10013031914

Black-Scholes formulas without the normality assumption : Applications to stochastic volatility and stochastic interest rate

Alghalith, Moawia - 2021

We provide explicit, simple price formulas for the Europeanoptions under stochastic volatility and stochastic interest …

Persistent link: https://www.econbiz.de/10013213298