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Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
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Pricing a specific equity index annuity in a regime-switching Lévy model with jump
Wang, Yayun - In: Computational economics 61 (2023) 3, pp. 1115-1135
Persistent link: https://www.econbiz.de/10014252150
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Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia; Dias, José Carlos; Nunes, … - In: The journal of futures markets 44 (2024) 3, pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
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Robust product Markovian quantization
Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - In: The journal of computational finance 25 (2022) 4, pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
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CBI-time-changed Lévy processes for multi-currency modeling
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2021
Persistent link: https://www.econbiz.de/10013347432
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CBI-time-changed Lévy processes
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2022
Persistent link: https://www.econbiz.de/10013347447
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American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen; Elliott, Robert J. - In: The journal of derivatives : JOD 29 (2022) 3, pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
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Volatility is (mostly) path-dependent
Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
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Option prices and the probability of success of cash mergers
Bester, C. Alan; Martinez, Victor H.; Roşu, Ioanid - In: Journal of financial econometrics 21 (2023) 1, pp. 145-186
Persistent link: https://www.econbiz.de/10013542856