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A note on the Malliavin differ...
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The asymptotic expansion of the regular discretization error of Itô integrals
Alòs, Elisa
;
Fukasawa, Masaaki
- In:
Mathematical Finance
31
(
2020
)
1
,
pp. 323-365
Persistent link: https://www.econbiz.de/10012410101
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2
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
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3
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
4
A note on the implied volatility of floating strike Asian options
Alòs, Elisa
;
León, Jorge A.
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
Saved in:
5
Special issue quantitative developments in financial volatility : theory and practice
Alòs, Elisa
(
ed.
);
Mancino, Maria Elvira
(
ed.
); …
-
2019
Persistent link: https://www.econbiz.de/10012127325
Saved in:
6
Valuation of barrier options via a general self-duality
Alòs, Elisa
;
Chen, Zhanyu
;
Rheinländer, Thorsten
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
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7
Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa
;
Shiraya, Kenichiro
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
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8
Target volatility option pricing in the lognormal fractional SABR model
Alòs, Elisa
;
Chatterjee, Rupak
;
Tudor, Sebastian F.
; …
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1339-1356
Persistent link: https://www.econbiz.de/10012194791
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9
Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
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10
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
- In:
Finance and Stochastics
16
(
2012
)
3
,
pp. 403-422
Persistent link: https://www.econbiz.de/10010997054
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