A fast calibrating volatility model for option pricing
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Publication:319158
DOI10.1016/j.ejor.2014.12.031zbMath1346.91230OpenAlexW2064243848MaRDI QIDQ319158
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://bura.brunel.ac.uk/handle/2438/9691
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- Interest rate models -- theory and practice. With smile, inflation and credit
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Stochastic Volatility for Lévy Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
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