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Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo - In: Quantitative finance 22 (2022) 3, pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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Implied Markov transition matrices under structural price models
Defourny, Boris; Moazeni, Somayeh - In: Quantitative finance 21 (2021) 11, pp. 1935-1954
Persistent link: https://www.econbiz.de/10012696797
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Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.; Ngo, Julie T. D. - In: Quantitative finance 22 (2022) 11, pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
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Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
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Empirical deep hedging
Mikkilä, Oskari; Kanniainen, Juho - In: Quantitative finance 23 (2023) 1, pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
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Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 23 (2023) 10, pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
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Pricing Asian options with stochastic convenience yield and jumps
Ewald, Christian; Wu, Yuexiang; Zhang, Aihua - In: Quantitative finance 23 (2023) 4, pp. 677-692
Persistent link: https://www.econbiz.de/10014304306