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Search: subject:"Multiscale stochastic volatility"
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Option pricing theory
4
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Multiscale stochastic volatility
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multiscale stochastic volatility
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Modeling tail dependence using stochastic volatility model
Kim, See-Woo
;
Ma, Yong-Ki
;
Necula, Ciprian
- In:
Computational economics
62
(
2023
)
1
,
pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
Saved in:
2
First-order asymptotics of path-dependent derivatives in
multiscale
stochastic
volatility
environment
Saporito, Yuri F.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011889526
Saved in:
3
Robust investment-reinsurance optimization with
multiscale
stochastic
volatility
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 245-256
Persistent link: https://www.econbiz.de/10011312060
Saved in:
4
Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Fatone, Lorella
;
Mariani, Francesca
;
Recchioni, Maria …
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 10-32
Persistent link: https://www.econbiz.de/10010240231
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