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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 11 (2007)
Issue (Month): 4 (October)
Pages: 571-589
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Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589

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Related research

Keywords: Black-Scholes formula; Derivative operator; Itô’s formula for the Skorohod integral; Jump-diffusion stochastic volatility model; G12; G13; 91B28; 91B70; 60H07;

References listed on IDEAS
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1. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-778, 04. [Downloadable!] (restricted)
   Other versions:
   • Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA. [Downloadable!]
2. Jean-Pierre Fouque & George Papanicolaou & Ronnie Sircar & Knut Solna, 2004. "Maturity cycles in implied volatility," Finance and Stochastics, Springer, vol. 8(4), pages 451-477, November. [Downloadable!] (restricted)
3. Ball, Clifford A. & Roma, Antonio, 1994. "Stochastic Volatility Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 589-607, December. [Downloadable!]
4. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. [Downloadable!] (restricted)
5. Alexey Medvedev & Olivier Scaillet, . "Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility," Swiss Finance Institute Research Paper Series 06-08, Swiss Finance Institute, revised Jan 2006. [Downloadable!]
6. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280. [Downloadable!] (restricted)
   Other versions:
   • Neil Shephard & Ole Barndorff-Nielsen, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 071, University of Oxford, Department of Economics. [Downloadable!]
   • Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001. [Downloadable!]
7. Elisa Alòs, 2006. "A generalization of the Hull and White formula with applications to option pricing approximation," Finance and Stochastics, Springer, vol. 10(3), pages 353-365, September. [Downloadable!] (restricted)

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This page was last updated on 2009-11-25.