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Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single‐Factor Stochastic Volatility Models

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  • Jacinto Marabel Romo

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  • Jacinto Marabel Romo, 2014. "Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single‐Factor Stochastic Volatility Models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(2), pages 124-144, February.
    • Handle: RePEc:wly:jfutmk:v:34:y:2014:i:2:p:124-144
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    File URL: http://hdl.handle.net/10.1002/fut.21611
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    Cited by:

    1. Lee Kyungsub, 2016. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 19-36, February.
    2. Choi, Sun-Yong, 2019. "The influence of shock signals on the change in volatility term structure," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
    3. Yanhong Zhong & Guohe Deng, 2019. "Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate," Complexity, Hindawi, vol. 2019, pages 1-13, January.

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