SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm
16 references·0 citing·39 second hop
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm (2022)Two-factor Heston model equipped with reg…Volatility Is Rough (2018)Volatility Is RoughThe Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)The Shape and Term Structure …Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Pricing early-exercise and di…Stochastic Differential Equations—An Introduction With Applications (2006)Stochastic Differential Equat…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Information and option pricings (2001)Information and option pricin…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Analysis of Financial Time Series (2006)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2003)Pricing under rough volatility (2015)The microstructural foundations of leverage effect and rough volatility (2018)The characteristic function of rough Heston models (2019)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation (2004)An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (2009)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2006Stochastic Differential Equations—An Introduction With Applications1,648 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 2018Volatility Is Rough793 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well540 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

279 cited
  • 2001Information and option pricings273 cited
  • Cited by

    No citing works inside the corpus for this window.