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Efficient estimation of drift parameters in stochastic volatility models
Gloter, Arnaud - In: Finance and stochastics 11 (2007) 4, pp. 495-519
Persistent link: https://www.econbiz.de/10003645519
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Stochastic flow approach to Dupire's formula
Jourdain, B. - In: Finance and stochastics 11 (2007) 4, pp. 521-535
Persistent link: https://www.econbiz.de/10003645525
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Smart expansion and fast calibration for jump diffusions
Benhamou, Eric; Gobet, E.; Miri, M. - In: Finance and stochastics 13 (2009) 4, pp. 563-589
Persistent link: https://www.econbiz.de/10003899530
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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Moment explosions in stochastic volatility models
Andersen, Leif B. G.; Piterbarg, Vladimir V. - In: Finance and stochastics 11 (2007) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10003410634
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Pricing options under stochastic volatility : a power series approach
Antonelli, Fabio; Scarlatti, Sergio - In: Finance and stochastics 13 (2009) 2, pp. 269-303
Persistent link: https://www.econbiz.de/10003939521
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A generalization of the Hull and White formula with applications to option pricing approximation
Alòs, Elisa - In: Finance and stochastics 10 (2006) 3, pp. 353-365
Persistent link: https://www.econbiz.de/10003380015
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A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
Klößner, Stefan - In: Finance and stochastics 14 (2010) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10003924780
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Nonparametric estimation for a stochastic volatility model
Comte, Fabienne; Genon-Catalot, Valentine; Rozenholc, Y. - In: Finance and stochastics 14 (2010) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10003924782
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Gamma expansion of the Heston stochastic volatility model
Glasserman, Paul; Kim, Kyoung-kuk - In: Finance and stochastics 15 (2011) 2, pp. 267-296
Persistent link: https://www.econbiz.de/10009159098