SZodixStudyAcademic Library

Shelves Open access

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

Option pricing with mean reversion and stochastic volatility · Study

ArticleShelves

ArticleOption pricing with mean reversion and stochastic volatility

Hoi Ying Wong2008

OA

Articlegreen2008

Option pricing with mean reversion and stochastic volatility

Hoi Ying Wong · Yu Wai Lo

87 citations·0/0 files stored·European Journal of Operational Research

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 Capital Investment and Risk Analysis 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 — 87 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1997Empirical Performance of Alternative Option Pricing Models 1999Option valuation using the fast Fourier transform 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1988Mean reversion in stock prices 1987Mean Reversion in Stock Prices: Evidence and Implications 1996Mean Reversion in Stock Prices 1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities

Cited by

2015Intraday volatility interaction between the crude oil and equity markets 2018A General Valuation Framework for SABR and Stochastic Local Volatility Models 2017Regime-switching stochastic volatility model: estimation and calibration to VIX options 2015Variance swap with mean reversion, multifactor stochastic volatility and jumps 2020A real options based decision support tool for R&D investment: Application to CO2 recycling technology

Related works

Explore the map →

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

2008Oil price dynamics (2002–2006)article · 5 shared references 2008Unspanned Stochastic Volatility and the Pricing of Commodity Derivativespreprint · 5 shared references 2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatilityarticle · 5 shared references 2009Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatilityarticle · 5 shared references 2009Unspanned Stochastic Volatility and the Pricing of Commodity Derivativesarticle · 4 shared references 1997Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Marketsarticle · 4 shared references

Details

Year2008

Typearticle

Published2008-05-29

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations87

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.ejor.2008.05.014

openalex_workW2911234796

Links

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

2013

Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity

2010FFT based option pricing under a mean reverting process with stochastic volatility and jumps

2010An FFT-network for Lévy option pricing