SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The α -hypergeometric stochastic volatility model · Study

ArticleShelves

ArticleThe α -hypergeometric stochastic volatility model

José Da Fonseca2015

OA

Articlebronze2015

The α -hypergeometric stochastic volatility model

José Da Fonseca · Claude Martini

32 citations·0/0 files stored·Stochastic Processes and their Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 32 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 2010Mathematical Methods for Financial Markets 1989Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model 2005Exponential functionals of Brownian motion, I: Probability laws at fixed time 2000Laguerre Series for Asian and Other Options

Cited by

2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. Iarticle · 8 shared references 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivativesbook · 5 shared references 2000Reading the smile: the message conveyed by methods which infer risk neutral densitiesarticle · 5 shared references 1998How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options marketarticle · 5 shared references 2008Stochastic Volatility: Option Pricing using a Multinomial Recombining Treearticle · 5 shared references 2004Maximum Likelihood Estimation of Stochastic Volatility Modelsreport · 5 shared references

Details

Year2015

Typearticle

Published2015-11-28

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2015.11.010

openalex_workW1516723521

Links

Imported from OpenAlex (CC0) — nothing here is generated.