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A Unified Stochastic Volatilit...
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Pacific-Basin finance journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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19,288
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1
Analytically pricing European options under a hybrid stochastic
volatility
and interest rate model with a general
correlation
structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
2
On moment non-explosions for Wishart-based stochastic
volatility
models
Fonseca, José da
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
Saved in:
3
Capturing implied
correlation
skew from options prices via multiscale stochastic
volatility
models
Pellegrino, T.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
Saved in:
4
Rough stochastic elasticity of variance and option pricing
Cao, Jiling
;
Kim, Jeong-Hoon
;
Kim, See-Woo
;
Zhang, WenJun
- In:
Finance research letters
37
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
Saved in:
5
Stochastic
volatility
models for the implied
correlation
index : evidence, properties and pricing
Escobar, Marcos
;
Lin, Fang
- In:
Finance research letters
35
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
Saved in:
6
Multivariate FX models with jumps : triangles, Quantos and implied
correlation
Ballotta, Laura
;
Deelstra, Griselda
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
260
(
2017
)
3
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10011714363
Saved in:
7
On the Heston model with stochastic
correlation
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011572381
Saved in:
8
Calibration of local
correlation
models to basket smiles
Guyon, Julien
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 1-51
Persistent link: https://www.econbiz.de/10011691606
Saved in:
9
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol
correlation
and correlated jumps
Itkin, Andrey
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
Saved in:
10
Optimal portfolios when variances and covariances can jump
Branger, Nicole
;
Muck, Matthias
;
Seifried, Frank Thomas
; …
- In:
Journal of economic dynamics & control
85
(
2017
),
pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
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