Stochastic Volatility and Jumps in Interest Rates: An International Analysis-Reference-Cited by-同舟云学术

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Stochastic Volatility and Jumps in Interest Rates: An International Analysis

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Chen Ren-Raw,Scott Louis

Publisher

Elsevier BV

Reference22 articles.

1. Empirical Performance of Alternative Option Pricing Models;G Bakshi;Journal of Finance,1997

2. Jumps in Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche mark Options;D Bates;Review of Financial Studies,1996

3. Post-'87 Crash Fears in S&P 500 Futures Options;D Bates;Journal of Econometrics,2000

4. Estimation and Inference in Nonlinear Structural Models;E K Berndt;Annals of Economic and Social Measurement,1974

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. LSV Models with Stochastic Interest Rates and Correlated Jumps;Pseudo-Differential Operators;2017

2. Asset Pricing with Matrix Jump Diffusions;SSRN Electronic Journal;2010

3. Saddlepoint approximations for affine jump-diffusion models;Journal of Economic Dynamics and Control;2009-01

4. Fast Calibration of Options on Variance Swaps;SSRN Electronic Journal;2008

5. Asset Pricing with Matrix Jump Diffusions;SSRN Electronic Journal;2008

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