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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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Dynamic portfolio strategies under a fully correlated jump-diffusion process
Escobar, Marcos; Moreno-Franco, Harold A. - In: Annals of finance 15 (2019) 3, pp. 421-453
Persistent link: https://www.econbiz.de/10012240153
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A simple efficient approximation to price basket stock options with volatility smile
Wu, Ping; Elliott, Robert J. - In: Annals of finance 13 (2017) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011944955
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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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Analysis of variance based instruments for Ornstein-Uhlenbeck type models : swap and price index
Issaka, Aziz; SenGupta, Indranil - In: Annals of finance 13 (2017) 4, pp. 401-434
Persistent link: https://www.econbiz.de/10011945581
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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