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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The American economic review"
~language:"eng"
~person:"Funahashi, Hideharu"
~person:"Grzelak, Lech A."
~person:"Gulisashvili, Archil"
~person:"Takahashi, Akihiko"
~subject:"Volatility"
~type_genre:"Article in journal"
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Volatility
Option pricing theory
14
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14
Volatilität
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9
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9
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4
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Funahashi, Hideharu
Grzelak, Lech A.
Gulisashvili, Archil
Takahashi, Akihiko
Benth, Fred Espen
6
Brigo, Damiano
5
Jaimovich, Nir
4
Pallavicini, Andrea
4
Rebonato, Riccardo
4
Chiarella, Carl
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3
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3
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3
Rubio-Ramírez, Juan Francisco
3
Schoutens, Wim
3
Stoep, Anthonie W. van der
3
Uribe, Martín
3
Vives, Josep
3
Zubelli, Jorge P.
3
Ahlip, Rehez
2
Alòs, Elisa
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Avellaneda, Marco
2
Bianchi, Michele Leonardo
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2
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2
Fukasawa, Masaaki
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2
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2
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2
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International journal of theoretical and applied finance
The American economic review
Asia-Pacific financial markets
4
The journal of computational finance
4
Quantitative finance
3
Annals of finance
2
Applied mathematical finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematics of operations research
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The journal of futures markets
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European journal of operational research : EJOR
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Insurance / Mathematics & economics
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International journal of financial engineering
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ECONIS (ZBW)
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1
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
2
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
3
An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011403778
Saved in:
4
Left-wing asymptotics of the implied volatility in the presence of atoms
Gulisashvili, Archil
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403232
Saved in:
5
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
6
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
7
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
Saved in:
8
Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Gulisashvili, Archil
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
Saved in:
9
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
10
Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
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