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The skewness risk premium in equilibrium and stock return predictability
Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133
Persistent link: https://www.econbiz.de/10011555439
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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars; Nguyen, Duy - In: Annals of finance 16 (2020) 3, pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
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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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Option pricing under fast-varying and rough stochastic volatility
Garnier, Josselin; Sølna, Knut - In: Annals of finance 14 (2018) 4, pp. 489-516
Persistent link: https://www.econbiz.de/10012268319
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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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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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Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike; Hainaut, Donatien - In: Annals of finance 20 (2024) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10014566365
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Delta-hedging in fractional volatility models
Zhao, Qi; Chronopoulou, Alexandra - In: Annals of finance 19 (2023) 1, pp. 119-140
Persistent link: https://www.econbiz.de/10014253877
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Co-jumps and recursive preferences in portfolio choices
Oliva, Immacolata; Stefani, Ilaria - In: Annals of finance 19 (2023) 3, pp. 291-324
Persistent link: https://www.econbiz.de/10014380566