Found 18 Documents (Results 1–18)
Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market. (English) Zbl 1540.91073
Implied higher order moments in the Heston model: a case study of S&P500 index. (English) Zbl 1530.91553
Option pricing under stochastic volatility models with latent volatility. (English) Zbl 1522.91262
MSC:
91G20
Weak approximations and VIX option price expansions in forward variance curve models. (English) Zbl 1521.91357
The VIX future in Bergomi models: fast approximation formulas and joint calibration with S&P 500 skew. (English) Zbl 1503.91120
A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps. (English) Zbl 07565480
MSC:
62-XX
A generalized Esscher transform for option valuation with regime switching risk. (English) Zbl 1490.91212
Joint modeling and calibration of SPX and VIX by optimal transport. (English) Zbl 1482.91203
Reviewer: Paweł Kliber (Poznan)
Structural clustering of volatility regimes for dynamic trading strategies. (English) Zbl 1490.91200
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model. (English) Zbl 1467.91101
A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model. (English) Zbl 1524.91147
An MCMC computational approach for a continuous time state-dependent regime switching diffusion process. (English) Zbl 1521.62357
MSC:
62-XX
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (English) Zbl 1466.91348
MSC:
91G20
Inversion of convex ordering in the VIX market. (English) Zbl 1454.91288
MSC:
91G20
Filter Results by …
all
top 5
Author
- Mehrdoust, Farshid (4)
- Noorani, Idin (4)
- Guyon, Julien (3)
- Alòs, Elisa (1)
- Bégin, Jean-François (1)
- Bourgey, Florian (1)
- De Marco, Stefano (1)
- El Maroufy, Hamid (1)
- Elliott, Robert James (1)
- Francis, Gilad (1)
- Fuchs, Christiane (1)
- García Lorite, David (1)
- Gobet, Emmanuel (1)
- Godin, Frédéric (1)
- Gonzalez, Aitor Muguruza (1)
- Guo, Ivan (1)
- Hibbah, El Houcine (1)
- James, Nick (1)
- Kanniainen, Juho (1)
- Loeper, Grégoire (1)
- Lyu, Jianping (1)
- Ma, Yong (1)
- Mancino, Maria Elvira (1)
- Menzies, Max (1)
- Nasroallah, Abdelaziz (1)
- Obloj, Jan K. (1)
- Prakash, Arjun (1)
- Scotti, Simone (1)
- Siu, Tak Kuen (1)
- Taib, Ziad (1)
- Toscano, Giacomo (1)
- Wang, Shiyi (1)