Narrow search
Showing 1 - 6 of 6
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
On Margrabe options written on stochastic volatility models
Alòs, Elisa; Rheinländer, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011442222
Cover Image
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa; Yang, Yan - 2014
Persistent link: https://www.econbiz.de/10010425642
Cover Image
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