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~isPartOf:"Working papers / Universitat Pompeu Fabra, Department of Economics and Business"
~subject:"Algorithmus"
~subject:"Stochastischer Prozess"
~type_genre:"Working Paper"
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
Discussion paper / Tinbergen Institute
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29
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23
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1
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 Margrabe options written on stochastic
volatility
models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
3
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:
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
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:
6
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:
7
On the short-time behavior of the implied
volatility
for jump-diffusion models with stochastic
volatility
Alòs, Elisa
(
contributor
);
León, Jorge A.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003379784
Saved in:
8
A note on the Malliavin differentiability of the Heston
volatility
Alos, Elisa
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003082664
Saved in:
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