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Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
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Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
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Calibration of stochastic volatility models via second-order approximation : the Heston case
Alòs, Elisa; Santiago Hernando, Rafael de; Vives, Josep - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-31
Persistent link: https://www.econbiz.de/10011403898
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Volatility clustering in financial markets : a microsimulation of interacting agents
Lux, Thomas; Marchesi, Michele - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 675-702
Persistent link: https://www.econbiz.de/10001526862
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Decomposition formula for rough Volterra stochastic volatility models
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; … - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-47
Persistent link: https://www.econbiz.de/10012650356
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Decomposition formula for jump diffusion models
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; … - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011970979
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Cross-country performance of Lévy regime-switching models for stock markets
Chevallier, Julien; Goutte, Stéphane - In: Applied economics 49 (2017) 2, pp. 111-137
Persistent link: https://www.econbiz.de/10011810520