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The [beta]-variance gamma model
Schoutens, Wim; Van Damme, Geert - In: Review of derivatives research 14 (2011) 3, pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
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Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
Fukasawa, Masaaki; Hirano, Asuto - In: Quantitative finance 21 (2021) 7, pp. 1127-1146
Persistent link: https://www.econbiz.de/10012588025
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JDOI variance reduction method and the pricing of American-style options
Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
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A copula-based approach for generating lattices
Wang, Tianyang; Dyer, James S.; Hahn, Warren J. - In: Review of derivatives research 18 (2015) 3, pp. 263-289
Persistent link: https://www.econbiz.de/10011477303
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Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
Vitiello, Luiz; Poon, Ser-Huang - In: Review of derivatives research 17 (2014) 2, pp. 241-259
Persistent link: https://www.econbiz.de/10010529622
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A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo; Correira-da-Silva, João - In: Review of derivatives research 17 (2014) 2, pp. 125-159
Persistent link: https://www.econbiz.de/10010529639
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Valuing American-style options under the CEV model : an integral representation based method
Cruz, Aricson; Dias, José Carlos - In: Review of derivatives research 23 (2020) 1, pp. 63-83
Persistent link: https://www.econbiz.de/10012229783
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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
Hua, Qiuling; Jiang, Tingfeng; Cheng, Zhang - In: Quantitative finance 18 (2018) 9, pp. 1501-1515
Persistent link: https://www.econbiz.de/10011913179