A fast calibrating volatility model for option pricing (Q319158): Difference between revisions

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-.1016/j.ejor.2014.12.031
@@ Property / DOI: 10.1016/j.ejor.2014.12.031 / rank @@
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+W2064243848
@@ Property / OpenAlex ID: W2064243848 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
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+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+Option pricing when underlying stock returns are discontinuous
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@@ Property / DOI @@
+.1016/J.EJOR.2014.12.031
@@ Property / DOI: 10.1016/J.EJOR.2014.12.031 / rank @@
+Normal rank