- Alberto Elices and Eduard Gimenez. Applying hedging stategies to estimate model risk and provision calculation. Quantitative Finance, (13(7)):1015–1028, 2013. F. Forani and Antonnio Mele. Approximating volatility diffusions with cev-arch models.
Paper not yet in RePEc: Add citation now
- Avner Friedman. Stochastic differential equations and applications Vol. I. Academic Press, New York, 1975.
Paper not yet in RePEc: Add citation now
- Björn Lutz. Pricing of Derivatives on Mean-Reverting Assets. Doctoral Dissertation, University of Tuebingen, 2009.
Paper not yet in RePEc: Add citation now
- Christian Fries. Mathematical Finance: Theory, Modelling, Implementation. John Wiley & Sons, Inc., Hoboken, New Jersey, 2007. Carlos A. Catalan Garcia. Pricing equity derivatives with the kristensen-mele approach.
Paper not yet in RePEc: Add citation now
Christopher S. Jones. The dynamics of stochastic volatility: evidence from underlying and options markets. Journal of Econometrics, (116):181–224, 2003. Ioannis Karatzas and Steven E. Shreve. Brownian Motion and Stochastic Calculus.
Dennis Kristensen and Antonio Mele. Adding and subtracting black-scholes: A new approach to approximate derivative prices in continuous-time models. Journal of Financial Economics, (102):390–415, 2011.
Eduardo S. Schwartz. The stochastic behavior of commodity prices: Implications for valuation and hedging. The Journal of Finance, (VLII (3)):923–973, 1997.
Elias M. Stein and Jeremy C. Stein. Stock price distributions with stochastic volatility: An analytic approach. The Review of Financial Studies, (4(4)):727–752, 1991.
- H. E. Daniels. Saddlepoint approximations in statistics. Annals of Mathematical Statistics, (25(4)):631–650, 1954.
Paper not yet in RePEc: Add citation now
- Houman Younesian. Approximating option prices. Master Thesis at University of Rotterdam, 2013.
Paper not yet in RePEc: Add citation now
J.C. Cox, J.E. Ingersoll, and S.A. Ross. The relation between forward prices and futures prices. Journal of Financial Economics, (9):321–346, 1981.
- Jianwei Zhu. Modular Pricing of Options: An Application of Fourier Analysis. Doctoral Dissertation, University of Tuebingen, 2000. Jianwei Zhu. Applications of Fourier Transform to Smile Modeling: Theory and Implementation.
Paper not yet in RePEc: Add citation now
- Jim Gatheral. The Volatility Surface: A Practitioner’s Guide. John Wiley & Sons, Inc., Hoboken, New Jersey, 2006. REFERENCES v Philip E. Gill, Walter Murray, and Margaret H. Wright. Practical Optimaziation.
Paper not yet in RePEc: Add citation now
- Jin Yang. Stochastic Volatility Models: Option Price Approximations, Asymptotics and Maximum Likelihood Estimation. Doctoral Dissertation, University of Illinois at Urbana-Champaign, 2006.
Paper not yet in RePEc: Add citation now
- Joaquim R. R. A. Martins, Peter Sturdza, and Alonso Juan J. The complex-step derivative approximation. ACM Transactions on Mathematical Software, (29(3)): 245–262, 2003.
Paper not yet in RePEc: Add citation now
- John C. Hull and Alan White. An analysis of the bias in option pricing caused by a stochastic volatility. Advances in futures and options research: a research annual, (Vol. 3):27–61, 1988.
Paper not yet in RePEc: Add citation now
- John C. Hull. Options, Futures and other Derivatives. Pearson, Toronto, 9th edition, 2015.
Paper not yet in RePEc: Add citation now
- John Lehoczky. Simulating the greeks in finance. Presentation slides from the conference Probability, Control, and Finance at Columbia University, NY, 2012.
Paper not yet in RePEc: Add citation now
K.C. Chan, G.A. Karolyi, F.A. Longstaff, and A.B. Sanders. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance, (47):1209– 1227, 1992.
- L.C.G. Rogers and O. Zane. Saddlepoint approximations to option prices. The Annals of Applied Probability, (9(2)):493–503, 1999.
Paper not yet in RePEc: Add citation now
- Martin Hermann. Numerische Mathematik. Oldenbourg Wissenschaftsverlag GmbH, München, 2nd edition, 2006.
Paper not yet in RePEc: Add citation now
- Paul Glasserman. Monte Carlo Methods in Financial Engineering. Springer, New York, 2003. Constantino Goutis and George Casella. Explaining the saddlepoint approximation.
Paper not yet in RePEc: Add citation now
Pavel Cizek, Wolfgang K. Haerdle, and Rafa Weron. Statistical tools for finance and insurance. Springer, Berlin, 2011.
Rainer Schöbel and Jianwei Zhu. Stochastic volatility with an ornstein-uhlenbeck process: An extension. European Finance Review, (3):23–46, 1999.
REFERENCES vi A.L. Lewis. Option Valuation Under Stochastic Volatility. Finance Press, Newport Beach, CA, 2nd edition, 2000.
Ricardo Crisostomo. An analysis of the heston stochastic volatility model: Implementation and calibration using matlab. Spanish Securities Market Commission – CNMV, (Working Paper No. 58), 2014.
Robert L. Kimmel. Changing times: The pricing problem in non-linear models. Dice Center Working Paper, (2008-24), 2008.
- Rodger Lord and Christian Kahl. Complex logarithms in heston-like models. Mathematical Finance, 20(4):671–694, 2010.
Paper not yet in RePEc: Add citation now
Steven Heston. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, (6):327–343, 1993. Ali Hirsa and Salih N. Neftci. An Introduction to the Mathematics of Financial Derivatives.
T. Bollerslev and H. Zhou. Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Journal of Econometrics, (109):33–65, 2002.
Yacine Ait-Sahalia and Jialin Yu. Saddlepoint approximations for continuous-time markov processes. Journal of Econometrics, (134):507–551, 2006. Fischer Black and Myron Scholes. The pricing of options and corporate liabilities.