Bogdan Negrea

National Center for Scientific Research (CNRS)

3, rue Michel-Ange

Paris cedex 16, 75794

France

SCHOLARLY PAPERS

4

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Top 15,571

in Total Papers Downloads

3,463

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (4)

1.

Option Pricing with Stochastic Volatility: A Closed-Form Solution Using the Fourier Transform

Number of pages: 52 Posted: 29 Jul 2002
Bogdan Negrea
National Center for Scientific Research (CNRS)
Downloads 1,761 (10,323)

Abstract:

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Option valuation, Stochastic volatility, Fourier transform, Volatility forecasting

2.

Multi-Moment Approximate Option Pricing Models: A General Comparison (Part 1)

Number of pages: 57 Posted: 24 Feb 2002
Glion Institute of Higher Education, EMLyon Business School (Paris Campus) and National Center for Scientific Research (CNRS)
Downloads 889 (29,152)
Citation 8

Abstract:

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

Number of pages: 26 Posted: 18 May 2004
Bogdan Negrea
National Center for Scientific Research (CNRS)
Downloads 401 (80,900)

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Option valuation, Stochastic volatility, Volatility Smile, Volatility forecasting

A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

Number of pages: 27 Posted: 20 Jul 2004
Bogdan Negrea
National Center for Scientific Research (CNRS)
Downloads 388 (84,005)

Abstract:

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Option valuation, Stochastic volatility, Volatility Smile, Volatility forecasting

4.

Multi-Moment Approximate Option Pricing Models: A General Comparison (Part 1)

Number of pages: 57 Posted: 22 May 2018
Glion Institute of Higher Education, EMLyon Business School (Paris Campus) and National Center for Scientific Research (CNRS)
Downloads 24 (552,075)
Citation 5

Abstract:

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis