Narrow search
Showing 1 - 10 of 10
Cover Image
Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
Cover Image
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Cover Image
Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad - In: Applied mathematical finance 23 (2016) 1/2, pp. 135-157
Persistent link: https://www.econbiz.de/10011547000
Cover Image
Implied volatility of leveraged ETF options
Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
Cover Image
Effect of volatility clustering on indifference pricing of options by convex risk measures
Kumar, Rohini - In: Applied mathematical finance 22 (2015) 1/2, pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
Cover Image
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Applied mathematical finance 24 (2017) 5/6, pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
Cover Image
On a neural network to extract implied information from american options
Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; … - In: Applied mathematical finance 28 (2021) 5, pp. 449-475
Persistent link: https://www.econbiz.de/10013411712
Cover Image
Simulation of arbitrage-free implied volatility surfaces
Cont, Rama; Vuletić, Milena - In: Applied mathematical finance 30 (2023) 2, pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
Cover Image
Short-time asymptotics for non-self-similar stochastic volatility models
Giorgio, Giacomo; Pacchiarotti, Barbara; Pigato, Paolo - In: Applied mathematical finance 30 (2023) 3, pp. 123-152
Persistent link: https://www.econbiz.de/10015051230
Cover Image
On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa; Nualart, Eulalia; Pravosud, Makar - In: Applied mathematical finance 30 (2023) 5, pp. 249-274
Persistent link: https://www.econbiz.de/10015051248