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Non-Gaussian Price Dynamics and Implications for Option Pricing
(2012)
It is well known that the probability distribution of stock returns is non-Gaussian. The tails of the distribution are too “fat,” meaning that extreme price movements, such as stock market crashes, occur more often than ...
Option pricing under multiscale stochastic volatility
(2015)
The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Estimation of volatility of selected oil production projects
(Elsevier Science BvAmsterdamHolanda, 2006)
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2014)
A General Approach for Pricing Rollover OptionsA General Approach for Pricing Rollover Options
(Sociedade Brasileira de Econometria, 2007)
Essays on asset pricing and option valuation
(2020-12-21)
Esta tese é composta por quatro ensaios sobre precificação de ativos e opções. O primeiro ensaio estuda a precificação de opções de índice no contexto de mercados incompletos. Um novo método é fornecido para construir ...
Stochastic volatility and option pricing in the Brazilian stock market: an empirical investigation
(2005)
The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close ...