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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Cited by:

  1. Milan Kumar Das & Anindya Goswami, 2019. "Testing of binary regime switching models using squeeze duration analysis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-20, March.
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  6. Marcos Escobar-Anel & Weili Fan, 2023. "The SEV-SV Model—Applications in Portfolio Optimization," Risks, MDPI, vol. 11(2), pages 1-34, January.
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  11. Leluc, Rémi & Portier, François & Zhuman, Aigerim & Segers, Johan, 2023. "Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence," LIDAM Discussion Papers ISBA 2023019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  12. Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
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  25. Fabio Baschetti & Giacomo Bormetti & Silvia Romagnoli & Pietro Rossi, 2020. "The SINC way: A fast and accurate approach to Fourier pricing," Papers 2009.00557, arXiv.org, revised May 2021.
  26. repec:dau:papers:123456789/871 is not listed on IDEAS
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  28. Gonçalo Faria & João Correia-da-Silva, 2014. "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
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  30. Kilin, Fiodar, 2006. "Accelerating the calibration of stochastic volatility models," MPRA Paper 2975, University Library of Munich, Germany, revised 22 Apr 2007.
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  32. Ye Du & Shan Xue & Yanchu Liu, 2019. "Robust upper bounds for American put options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 3-14, January.
  33. Figa-Talamanca, Gianna & Guerra, Maria Letizia, 2006. "Fitting prices with a complete model," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 247-258, January.
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  52. Daniele Angelini & Matthieu Garcin, 2024. "Market information of the fractional stochastic regularity model," Papers 2409.07159, arXiv.org.
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