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Quanto option pricing with Lévy models
Fallahgoul, Hasan A.; Kim, Young Shin; Fabozzi, Frank J.; … - In: Computational economics 53 (2019) 3, pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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An expanded Local Variance Gamma model
Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
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Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
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The geometry of the world of currency volatilities
Konstantinov, Gueorgui; Fabozzi, Frank J. - In: Computational economics 60 (2022) 1, pp. 125-145
Persistent link: https://www.econbiz.de/10013262502