Carlton Osakwe

Mount Royal University - Bissett School of Business

4825 Richard Road SW

Calgary, Alberta T3E 6K6

Canada

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Heston-Type Stochastic Volatility with a Markov Switching Regime

Journal of Futures Markets, Vol.36, No.9, pp.902-919.
Posted: 24 Sep 2014 Last Revised: 05 Sep 2016
Robert J. Elliott, Katsumasa Nishide and Carlton Osakwe
University of Calgary - Haskayne School of Business, Graduate School of Economics, Hitotsubashi University and Mount Royal University - Bissett School of Business

Abstract:

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Option price, Stochastic volatility, Markov switching

2.

The Valuation of Volatility Options

European Finance Review, Vol. 4, No. 1
Posted: 21 May 2001
Jerome Detemple and Carlton Osakwe
Boston University - Department of Finance & Economics and Mount Royal University - Bissett School of Business

Abstract:

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American options, early exercise premium, European options, hedging, optimal exercise, stochastic volatility, viability