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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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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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On a Heath-Jarrow-Morton approach for stock options
Kallsen, Jan; Krühner, Paul - In: Finance and stochastics 19 (2015) 3, pp. 583-615
Persistent link: https://www.econbiz.de/10011418308
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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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Shifting martingale measures and the birth of a bubble as a submartingale
Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
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Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10011460382
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A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111
Persistent link: https://www.econbiz.de/10001486629
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701