Bifactorial Pricing Models: Light and Shadows in Correlation Role

DOI10.1007/978-3-319-02499-8_9zbMath1418.91507OpenAlexW1899874430MaRDI QIDQ4561904

Antonio de Simone, Rosa Cocozza

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_9

zbMATH Keywords

stock priceinterest rateoption priceimplied volatilitystock option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing options under stochastic interest rates: a new approach
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• A Theory of the Term Structure of Interest Rates
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Option pricing: A simplified approach

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