Pages that link to "Item:Q1398979"
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The following pages link to Alternative models for stock price dynamics. (Q1398979):
Displayed 50 items.
- Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427) (← links)
- Stochastic volatility and DSGE models (Q991328) (← links)
- Likelihood-based inference for a class of multivariate diffusions with unobserved paths (Q997298) (← links)
- Sequential calibration of options (Q1023619) (← links)
- The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978) (← links)
- Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
- Empirical reverse engineering of the pricing kernel. (Q1398984) (← links)
- Empirical option pricing: A retrospection (Q1398987) (← links)
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494) (← links)
- The effect of infrequent trading on detecting price jumps (Q1633220) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- How should a local regime-switching model be calibrated? (Q1655569) (← links)
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns (Q1657302) (← links)
- A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models (Q1695565) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- Pricing currency option in a mixed fractional Brownian motion with jumps environment (Q1719257) (← links)
- Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option (Q1721889) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- Cross-validated SNP density estimates (Q1858960) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
- Model risk in the over-the-counter market (Q2076856) (← links)
- Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544) (← links)
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
- Measuring systematic risk with neural network factor model (Q2137662) (← links)
- A generalized entropy optimization modelling in the theory of stochastic differential equations (Q2151586) (← links)
- Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients (Q2157559) (← links)
- Efficient hedging currency options in fractional Brownian motion model with jumps (Q2164804) (← links)
- Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
- The term structure of equity and variance risk premia (Q2224879) (← links)
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
- Correlated log-normal random variables under a multiscale volatility model (Q2247624) (← links)
- Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method (Q2292051) (← links)
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
- Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
- Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
- The influence of shock signals on the change in volatility term structure (Q2324716) (← links)
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate (Q2325143) (← links)
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
- What is beneath the surface? Option pricing with multifrequency latent states (Q2347726) (← links)
- The long and the short of the risk-return trade-off (Q2347734) (← links)
- COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
- Diffusion equations and the time evolution of foreign exchange rates (Q2354796) (← links)
- Statistical decomposition of volatility (Q2400051) (← links)