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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
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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
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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
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Utility maximization in affine stochastic volatility models
Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477
Persistent link: https://www.econbiz.de/10008904356
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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
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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
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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
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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
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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
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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