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Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
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Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
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Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
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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
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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
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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
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Robust hedging and pathwise calculus
Tikanmäki, Heikki - In: Applied mathematical finance 20 (2013) 3/4, pp. 287-303
Persistent link: https://www.econbiz.de/10010187664
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Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
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Pricing of defaultable bonds with random information flow
Brody, Dorje C.; Law, Yan Tai - In: Applied mathematical finance 22 (2015) 5/6, pp. 399-420
Persistent link: https://www.econbiz.de/10011490604