4.2 Article

A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

Related references

Note: Only part of the references are listed.
Article Business, Finance

Smiling twice: The Heston plus plus model

Claudio Pacati et al.

JOURNAL OF BANKING & FINANCE (2018)

Article Management

Full and fast calibration of the Heston stochastic volatility model

Yiran Cui et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2017)

Article Management

An explicitly solvable Heston model with stochastic interest rate

M. C. Recchioni et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2016)

Article Business, Finance

Separating the Components of Default Risk: A Derivative-Based Approach

Anh Le

QUARTERLY JOURNAL OF FINANCE (2015)

Article Engineering, Multidisciplinary

Exact and approximate solutions for options with time-dependent stochastic volatility

Joanna Goard

APPLIED MATHEMATICAL MODELLING (2014)

Article Business, Finance

Time Dependent Heston Model

E. Benhamou et al.

SIAM JOURNAL ON FINANCIAL MATHEMATICS (2010)

Article Business, Finance

Estimation of continuous-time models with an application to equity volatility dynamics

Gurdip Bakshi et al.

JOURNAL OF FINANCIAL ECONOMICS (2006)

Article Management

Which GARCH model for option valuation?

P Christoffersen et al.

MANAGEMENT SCIENCE (2004)

Article Business, Finance

Pricing options using implied trees: Evidence from FTSE-100 options

KG Lim et al.

JOURNAL OF FUTURES MARKETS (2002)

Article Business, Finance

An empirical investigation of continuous-time equity return models

TG Andersen et al.

JOURNAL OF FINANCE (2002)

Article Business, Finance

The jump-risk premia implicit in options: evidence from an integrated time-series study

J Pan

JOURNAL OF FINANCIAL ECONOMICS (2002)