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A second-order stock market model
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis - In: Annals of finance 9 (2013) 3, pp. 439-454
Persistent link: https://www.econbiz.de/10009776425
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A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
Li, Xun; Wu, Zhenyu - In: Annals of finance 2 (2006) 2, pp. 179-205
Persistent link: https://www.econbiz.de/10003282234
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Does knowing the volatility states affect the market risk premium?
Bae, Jinho - In: Annals of finance 7 (2011) 1, pp. 83-94
Persistent link: https://www.econbiz.de/10008840222
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Testing the local volatility assumption : a statistical approach
Podolskij, Mark; Rosenbaum, Mathieu - In: Annals of finance 8 (2012) 1, pp. 31-48
Persistent link: https://www.econbiz.de/10009510584
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Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
Kim, Ha Young; Viens, Frederi G. - In: Annals of finance 8 (2012) 2/3, pp. 405-425
Persistent link: https://www.econbiz.de/10009548076
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Estimation and pricing under long-memory stochastic volatility
Chronopoulou, Alexandra; Viens, Frederi G. - In: Annals of finance 8 (2012) 2/3, pp. 379-403
Persistent link: https://www.econbiz.de/10009548079
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Affine fractional stochastic volatility models
Comte, Fabienne; Coutin, Laure; Renault, Eric - In: Annals of finance 8 (2012) 2/3, pp. 337-378
Persistent link: https://www.econbiz.de/10009548082
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Statistical estimation of Lévy-type stochastic volatility models
Figueroa-López, José E. - In: Annals of finance 8 (2012) 2/3, pp. 309-335
Persistent link: https://www.econbiz.de/10009548084
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Level changes in volatility models
Craioveanu, Mihaela; Hillebrand, Eric - In: Annals of finance 8 (2012) 2/3, pp. 277-308
Persistent link: https://www.econbiz.de/10009548088
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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard - In: Annals of finance 8 (2012) 2/3, pp. 205-233
Persistent link: https://www.econbiz.de/10009548093