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Continuous equilibrium in affine and information-based capital asset pricing models
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - In: Annals of finance 9 (2013) 4, pp. 725-755
Persistent link: https://www.econbiz.de/10010196576
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Options on bonds : implied volatilities from affine short-rate dynamics
Lorig, Matthew; Suaysom, Natchanon - In: Annals of finance 18 (2022) 2, pp. 183-216
Persistent link: https://www.econbiz.de/10013278980
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Extreme-strike asymptotics for general Gaussian stochastic volatility models
Gulisashvili, Archil; Viens, Frederi G.; Zhang, Xin - In: Annals of finance 15 (2019) 1, pp. 59-101
Persistent link: https://www.econbiz.de/10012058191
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Does the Hurst index matter for option prices under fractional volatility?
Funahashi, Hideharu; Kijima, Masaaki - In: Annals of finance 13 (2017) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10011944961
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The value of expected return persistence
Schadner, Wolfgang; Lang, Sebastian - In: Annals of finance 19 (2023) 4, pp. 449-476
Persistent link: https://www.econbiz.de/10014448279
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Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522
Persistent link: https://www.econbiz.de/10014448291