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Option valuation with a discrete-time double Markovian regime-switching model
Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K. - In: Applied mathematical finance 18 (2011) 5/6, pp. 473-490
Persistent link: https://www.econbiz.de/10009422572
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The stochastic intrinsic currency volatility model : a consistent framework for multiple FX rates and their volatilities
Doust, Paul - In: Applied mathematical finance 19 (2012) 5/6, pp. 381-445
Persistent link: https://www.econbiz.de/10009710939
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Small-time asymptotics for an uncorrelated local-stochastic volatility model
Forde, Martin; Jacquier, Antoine - In: Applied mathematical finance 18 (2011) 5/6, pp. 517-535
Persistent link: https://www.econbiz.de/10009422535
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The role of binance in bitcoin volatility transmission
Alexander, Carol; Heck, Daniel F.; Kaeck, Andreas - In: Applied mathematical finance 29 (2022) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10013554065
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Numerical approximation of the implied volatility under arithmetic Brownian motion
Choi, Jaehyuk; Kim, Kwangmoon; Kwak, Minsuk - In: Applied mathematical finance 16 (2009) 3/4, pp. 261-268
Persistent link: https://www.econbiz.de/10003916161
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Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
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Indifference pricing and hedging for volatility dervivatives
Grasselli, M. R.; Hurd, T. R. - In: Applied mathematical finance 14 (2007) 4, pp. 303-317
Persistent link: https://www.econbiz.de/10003543040
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Numerical methods and volatility models for valuing cliquet options
Windcliff, H. A.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 13 (2006) 4, pp. 353-386
Persistent link: https://www.econbiz.de/10003396217
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Asymptotics of barrier option pricing under the CEV process
Hu, Fannu; Knessl, Charles - In: Applied mathematical finance 17 (2010) 3/4, pp. 261-300
Persistent link: https://www.econbiz.de/10008653258
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Robust approximations for pricing Asian options and volatility swaps under stochastic volatility
Forde, Martin; Jacquier, Antoine - In: Applied mathematical finance 17 (2010) 3/4, pp. 241-259
Persistent link: https://www.econbiz.de/10008653259