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Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.; De Marco, Stefano; Gobet, Emmanuel - In: Quantitative finance 23 (2023) 9, pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
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A general approach for lookback option pricing under Markov models
Zhang, Gongqiu; Li, Lingfei - In: Quantitative finance 23 (2023) 9, pp. 1305-1324
Persistent link: https://www.econbiz.de/10014339927
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Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
Guinea Juliá, Álvaro; Roux, Alet - In: Quantitative finance 24 (2024) 8, pp. 1057-1076
Persistent link: https://www.econbiz.de/10015196870
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Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
Huang, Yinzhong; Xiao, Weilin; Yu, Xiaojian - In: Quantitative finance 24 (2024) 10, pp. 1509-1527
Persistent link: https://www.econbiz.de/10015196938
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On general semi-closed-form solutions for VIX derivative pricing
Bacon, Étienne; Bégin, Jean-François; Gauthier, … - In: Quantitative finance 24 (2024) 12, pp. 1875-1882
Persistent link: https://www.econbiz.de/10015196978
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Uncertain volatility derivative model based on the polynomial chaos
Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
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Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
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A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323
Persistent link: https://www.econbiz.de/10011544516
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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Dividend derivatives
Tunaru, Radu - In: Quantitative finance 18 (2018) 1, pp. 63-81
Persistent link: https://www.econbiz.de/10011905830