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~isPartOf:"Discussion paper"
~isPartOf:"Economics and finance working paper series"
~isPartOf:"Journal of financial economics"
~isPartOf:"Working papers / Universitat Pompeu Fabra, Department of Economics and Business"
~language:"eng"
~person:"Alòs, Elisa"
~person:"Sekhposyan, Tatevik"
~subject:"CAPM"
~subject:"Estimation theory"
~subject:"Optionspreistheorie"
~subject:"Volatility"
~type:"book"
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Alòs, Elisa
Sekhposyan, Tatevik
Caporale, Guglielmo Maria
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The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
2
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
3
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
4
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
Saved in:
5
Alternative tests for correct specification of conditional predictive densities
Rossi, Barbara
;
Sekhposyan, Tatevik
-
2014
Persistent link: https://www.econbiz.de/10010373662
Saved in:
6
Calibration of stochastic volatility models via second order approximation : the Heston model case
Alòs, Elisa
;
Santiago, Rafael de
;
Vives, Josep
-
2012
Persistent link: https://www.econbiz.de/10009724303
Saved in:
7
On the goodness of fit of Kirk's formula for spread option prices
Alòs, Elisa
;
León, Jorge A.
-
2012
Persistent link: https://www.econbiz.de/10009724304
Saved in:
8
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
-
2009
Persistent link: https://www.econbiz.de/10008665849
Saved in:
9
A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
10
Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set
Rossi, Barbara
;
Sekhposyan, Tatevik
-
2014
Persistent link: https://www.econbiz.de/10010373661
Saved in:
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