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There are 17452 results for: content related to: Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

  1. Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates

    International Review of Finance

    Volume 3, Issue 3-4, September 2002, Pages: 233–272, George J. Jiang

    Article first published online : 23 DEC 2004, DOI: 10.1111/j.1369-412X.2002.00040.x

  2. You have free access to this content
    Empirical Performance of Alternative Option Pricing Models

    The Journal of Finance

    Volume 52, Issue 5, December 1997, Pages: 2003–2049, Gurdip Bakshi, Charles Cao and Zhiwu Chen

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb02749.x

  3. A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

    Mathematical Finance

    Volume 21, Issue 2, April 2011, Pages: 233–256, Song-Ping Zhu and Guang-Hua Lian

    Article first published online : 19 OCT 2010, DOI: 10.1111/j.1467-9965.2010.00436.x

  4. Robustness of the Black and Scholes Formula

    Mathematical Finance

    Volume 8, Issue 2, April 1998, Pages: 93–126, Nicole El Karoui, Monique Jeanblanc-Picquè and Steven E. Shreve

    Article first published online : 5 JAN 2002, DOI: 10.1111/1467-9965.00047

  5. Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps

    Journal of Futures Markets

    Jimmy E. Hilliard and Jitka Hilliard

    Article first published online : 27 MAR 2014, DOI: 10.1002/fut.21667

  6. EFFECTS OF STOCHASTIC INTEREST RATES AND VOLATILITY ON CONTINGENT CLAIMS

    Japanese Economic Review

    Volume 58, Issue 1, March 2007, Pages: 71–106, NAOTO KUNITOMO and YONG-JIN KIM

    Article first published online : 8 FEB 2007, DOI: 10.1111/j.1468-5876.2007.00345.x

  7. Transform Analysis and Asset Pricing for Affine Jump-diffusions

    Econometrica

    Volume 68, Issue 6, November 2000, Pages: 1343–1376, Darrell Duffie, Jun Pan and Kenneth Singleton

    Article first published online : 10 DEC 2003, DOI: 10.1111/1468-0262.00164

  8. Pricing Foreign Exchange Options with Stochastic Volatility

    Standard Article

    Encyclopedia of Statistical Sciences

    Rehez Ahlip

    Published Online : 15 NOV 2010, DOI: 10.1002/0471667196.ess7140

  9. Long memory in continuous-time stochastic volatility models

    Mathematical Finance

    Volume 8, Issue 4, October 1998, Pages: 291–323, Fabienne Comte and Eric Renault

    Article first published online : 5 JAN 2002, DOI: 10.1111/1467-9965.00057

  10. COMPLEX LOGARITHMS IN HESTON-LIKE MODELS

    Mathematical Finance

    Volume 20, Issue 4, October 2010, Pages: 671–694, Roger Lord and Christian Kahl

    Article first published online : 22 SEP 2010, DOI: 10.1111/j.1467-9965.2010.00416.x

  11. Option Valuation with Systematic Stochastic Volatility

    The Journal of Finance

    Volume 48, Issue 3, July 1993, Pages: 881–910, KAUSHIK I. AMIN and VICTOR K. NG

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb04023.x

  12. TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING

    Mathematical Finance

    Volume 20, Issue 4, October 2010, Pages: 527–569, Rafael Mendoza-Arriaga, Peter Carr and Vadim Linetsky

    Article first published online : 22 SEP 2010, DOI: 10.1111/j.1467-9965.2010.00411.x

  13. Options

    Financial Derivative and Energy Market Valuation: Theory and Implementation in Matlab®

    Michael Mastro, Pages: 65–104, 2013

    Published Online : 26 FEB 2013, DOI: 10.1002/9781118501788.ch3

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    Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations

    Communications on Pure and Applied Mathematics

    Volume 67, Issue 1, January 2014, Pages: 40–82, J. D. Deuschel, P. K. Friz, A. Jacquier and S. Violante

    Article first published online : 12 AUG 2013, DOI: 10.1002/cpa.21478

  15. Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options

    Journal of Futures Markets

    Volume 31, Issue 2, February 2011, Pages: 103–125, Alexander Van Haastrecht and Antoon Pelsser

    Article first published online : 1 APR 2010, DOI: 10.1002/fut.20461

  16. Double Lookbacks

    Mathematical Finance

    Volume 8, Issue 3, July 1998, Pages: 201–228, Hua He, William P. Keirstead and Joachim Rebholz

    Article first published online : 5 JAN 2002, DOI: 10.1111/1467-9965.00053

  17. The generation, propagation, and extinction of multiphases in the KdV zero-dispersion limit

    Communications on Pure and Applied Mathematics

    Volume 55, Issue 12, December 2002, Pages: 1569–1639, Tamara Grava and Fei-Ran Tian

    Article first published online : 27 SEP 2002, DOI: 10.1002/cpa.10050

  18. Equilibrium Valuation of Foreign Exchange Claims

    The Journal of Finance

    Volume 52, Issue 2, June 1997, Pages: 799–826, GURDIP S. BAKSHI and ZHIWU CHEN

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb04822.x

  19. Economic significance of risk premiums in the S&P 500 option market

    Journal of Futures Markets

    Volume 22, Issue 12, December 2002, Pages: 1147–1178, R. Brian Balyeat

    Article first published online : 16 OCT 2002, DOI: 10.1002/fut.10051

  20. Bates Model

    Standard Article

    Encyclopedia of Quantitative Finance

    David S. Bates

    Published Online : 15 MAY 2010, DOI: 10.1002/9780470061602.eqf08016