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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of risk and financial management : JRFM"
~isPartOf:"MPRA Paper"
~subject:"Optionspreistheorie"
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International journal of theoretical and applied finance
Journal of risk and financial management : JRFM
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ECONIS (ZBW)
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1
Efficient, almost exact simulation of the heston stochastic volatility model
van Haastrecht, Alexander
;
Pelsser, Antoon André Jean
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10008860425
Saved in:
2
Computation of volatility in stochastic volatility models with high frequency data
Barucci, Emilio
;
Mancino, Maria Elvira
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 767-787
Persistent link: https://www.econbiz.de/10008904328
Saved in:
3
Regime-switching recombining tree for option pricing
Liu, Rui Hua
- In:
International journal of theoretical and applied finance
13
(
2010
)
3
,
pp. 479-499
Persistent link: https://www.econbiz.de/10008904355
Saved in:
4
Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda
;
Moretto, Enrico
;
Pasquali, Sara
; …
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
Saved in:
5
A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko
;
Takehara, Kohta
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
Saved in:
6
Asymptotic analysis for foreign exchange derivatives with stochastic volatility
Cuthbertson, Charles
;
Pavliotis, Grigorios
;
Rafailidis, …
- In:
International journal of theoretical and applied finance
13
(
2010
)
7
,
pp. 1131-1147
Persistent link: https://www.econbiz.de/10008906191
Saved in:
7
Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model
Bormetti, Giacomo
;
Cazzola, Valentina
;
Delpini, Danilo
- In:
International journal of theoretical and applied finance
13
(
2010
)
7
,
pp. 1047-1063
Persistent link: https://www.econbiz.de/10008906216
Saved in:
8
Forward and future implied volatility
Glasserman, Paul
;
Wu, Qi
- In:
International journal of theoretical and applied finance
14
(
2011
)
3
,
pp. 407-432
Persistent link: https://www.econbiz.de/10009154904
Saved in:
9
Asymptotic arbitrage in the Heston model
Haba, Fatma
;
Jacquier, Antoine
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011419412
Saved in:
10
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
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