Matches in SemOpenAlex for { <https://semopenalex.org/work/W1912009502> ?p ?o ?g. }
Showing items 1 to 83 of
83
with 100 items per page.
- W1912009502 endingPage "1550026" @default.
- W1912009502 startingPage "1550026" @default.
- W1912009502 abstract "This paper extends the Wiener–Itô chaos expansion approach proposed by Funahashi & Kijima (2015) to an equity-interest-rate hybrid model for the pricing of European contingent claims with special emphasis on calibration to the option markets. Our model can capture the volatility skew and smile of option markets, as well as the stochastic nature of interest rates. Further, the proposed method is applicable to widely used option pricing models such as local volatility models (LVM), stochastic volatility models (SVM), and their combinations with the stochastic nature of interest rates; hence, it is suitable for practical purposes. Through numerical examples, we show that our approximation is quite accurate even for long-maturity and/or high-volatility cases." @default.
- W1912009502 created "2016-06-24" @default.
- W1912009502 creator A5023309241 @default.
- W1912009502 date "2015-06-01" @default.
- W1912009502 modified "2023-09-25" @default.
- W1912009502 title "AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES" @default.
- W1912009502 cites W104454400 @default.
- W1912009502 cites W105642227 @default.
- W1912009502 cites W1966119267 @default.
- W1912009502 cites W1983886831 @default.
- W1912009502 cites W2011881037 @default.
- W1912009502 cites W2013134717 @default.
- W1912009502 cites W2022754748 @default.
- W1912009502 cites W2045475195 @default.
- W1912009502 cites W2058698505 @default.
- W1912009502 cites W2064978316 @default.
- W1912009502 cites W2137965449 @default.
- W1912009502 cites W3124441382 @default.
- W1912009502 cites W3125505968 @default.
- W1912009502 cites W33494981 @default.
- W1912009502 cites W4236751433 @default.
- W1912009502 doi "https://doi.org/10.1142/s0219024915500260" @default.
- W1912009502 hasPublicationYear "2015" @default.
- W1912009502 type Work @default.
- W1912009502 sameAs 1912009502 @default.
- W1912009502 citedByCount "3" @default.
- W1912009502 countsByYear W19120095022016 @default.
- W1912009502 countsByYear W19120095022018 @default.
- W1912009502 crossrefType "journal-article" @default.
- W1912009502 hasAuthorship W1912009502A5023309241 @default.
- W1912009502 hasConcept C10138342 @default.
- W1912009502 hasConcept C108018779 @default.
- W1912009502 hasConcept C13290067 @default.
- W1912009502 hasConcept C149782125 @default.
- W1912009502 hasConcept C162324750 @default.
- W1912009502 hasConcept C175025494 @default.
- W1912009502 hasConcept C187625094 @default.
- W1912009502 hasConcept C194483076 @default.
- W1912009502 hasConcept C24189920 @default.
- W1912009502 hasConcept C2779834249 @default.
- W1912009502 hasConcept C41008148 @default.
- W1912009502 hasConcept C43711488 @default.
- W1912009502 hasConcept C76155785 @default.
- W1912009502 hasConcept C85393063 @default.
- W1912009502 hasConcept C91602232 @default.
- W1912009502 hasConcept C93246554 @default.
- W1912009502 hasConceptScore W1912009502C10138342 @default.
- W1912009502 hasConceptScore W1912009502C108018779 @default.
- W1912009502 hasConceptScore W1912009502C13290067 @default.
- W1912009502 hasConceptScore W1912009502C149782125 @default.
- W1912009502 hasConceptScore W1912009502C162324750 @default.
- W1912009502 hasConceptScore W1912009502C175025494 @default.
- W1912009502 hasConceptScore W1912009502C187625094 @default.
- W1912009502 hasConceptScore W1912009502C194483076 @default.
- W1912009502 hasConceptScore W1912009502C24189920 @default.
- W1912009502 hasConceptScore W1912009502C2779834249 @default.
- W1912009502 hasConceptScore W1912009502C41008148 @default.
- W1912009502 hasConceptScore W1912009502C43711488 @default.
- W1912009502 hasConceptScore W1912009502C76155785 @default.
- W1912009502 hasConceptScore W1912009502C85393063 @default.
- W1912009502 hasConceptScore W1912009502C91602232 @default.
- W1912009502 hasConceptScore W1912009502C93246554 @default.
- W1912009502 hasIssue "04" @default.
- W1912009502 hasLocation W19120095021 @default.
- W1912009502 hasOpenAccess W1912009502 @default.
- W1912009502 hasPrimaryLocation W19120095021 @default.
- W1912009502 hasRelatedWork W127826184 @default.
- W1912009502 hasRelatedWork W1500986156 @default.
- W1912009502 hasRelatedWork W1912009502 @default.
- W1912009502 hasRelatedWork W2280558282 @default.
- W1912009502 hasRelatedWork W3043100163 @default.
- W1912009502 hasRelatedWork W3124001042 @default.
- W1912009502 hasRelatedWork W3142265750 @default.
- W1912009502 hasRelatedWork W3148216033 @default.
- W1912009502 hasRelatedWork W3198549451 @default.
- W1912009502 hasRelatedWork W1606881127 @default.
- W1912009502 hasVolume "18" @default.
- W1912009502 isParatext "false" @default.
- W1912009502 isRetracted "false" @default.
- W1912009502 magId "1912009502" @default.
- W1912009502 workType "article" @default.