Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility.
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- Review of Derivatives Research, 2024, v. 27, n. 1, p. 37, doi. 10.1007/s11147-023-09198-2
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Works matching IS 13806645 AND DT 2024 AND VI 27 AND IP 1
Results: 4
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2
Pricing levered warrants under the CEV diffusion model.
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- Review of Derivatives Research, 2024, v. 27, n. 1, p. 55, doi. 10.1007/s11147-023-09199-1
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- Article
3
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle.
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- Review of Derivatives Research, 2024, v. 27, n. 1, p. 1, doi. 10.1007/s11147-023-09197-3
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4
Martingale defects in the volatility surface and bubble conditions in the underlying.
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- Review of Derivatives Research, 2024, v. 27, n. 1, p. 85, doi. 10.1007/s11147-023-09200-x
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- Article