78 citations · 171 across the 33 of their papers we have counts for
8 papers · 1 filter
Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps
Friedrich Hubalek, Martin Keller-Ressel, Carlo Sgarra
In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which severa…
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
Antoine Jacquier, Martin Keller-Ressel, Aleksandar Mijatovic
Let denote the implied volatility at maturity for a strike , where and is the current value of the underlying. We show that has…
Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance
Martin Keller-Ressel, Claus Griessler
We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results,…
Asymptotic and Exact Pricing of Options on Variance
Martin Keller-Ressel, Johannes Muhle-Karbe
We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximat…
A remark on Gatheral's 'most-likely path approximation' of implied volatility
Martin Keller-Ressel, Josef Teichmann
We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the questio…
The affine LIBOR models
Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates ar…
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
Martin Keller-Ressel
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic an…
Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models
Martin Keller-Ressel, Thomas Steiner
We consider a model for interest rates, where the short rate is given by a time-homogenous, one-dimensional affine process in the sense of Duffie, Filipovic and Schachermayer. We s…