Bogdan Negrea

National Center for Scientific Research (CNRS)

3, rue Michel-Ange

Paris cedex 16, 75794

France

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 13,918

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Top 13,918

in Total Papers Downloads

3,405

CITATIONS

6

Scholarly Papers (4)

1.

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

EFMA 2002 London Meetings
Number of pages: 52 Posted: 29 Jul 2002
Bogdan Negrea
National Center for Scientific Research (CNRS)
Downloads 1,735 (9,073)

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 884 (25,701)
Citation 6

Abstract:

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis

A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

EFMA 2004 Basel Meetings Paper
Number of pages: 26 Posted: 18 May 2004
Bogdan Negrea
National Center for Scientific Research (CNRS)
Downloads 399 (71,833)

Abstract:

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Option valuation, Stochastic volatility, Volatility Smile, Volatility forecasting

A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

EFMA 2004 Basel Meetings Paper
Number of pages: 27 Posted: 20 Jul 2004
Bogdan Negrea
National Center for Scientific Research (CNRS)
Downloads 368 (78,998)

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 19 (524,746)
Citation 2

Abstract:

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Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis