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Implied volatility trees and pricing performance: Evidence from the S&P 100 options
Linaras, Charilaos E.; Skiadopoulos, George - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1085-1106
Persistent link: https://www.econbiz.de/10003280037
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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
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A new representation of the local volatility surface
Rodrigo, Maianito R.; Mamon, Rogemar S. - In: International journal of theoretical and applied finance 11 (2008) 7, pp. 691-703
Persistent link: https://www.econbiz.de/10003791850
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On the realtionship between the call price surface and the implied volatility surface close to expiry
Roper, Michael; Rutkowski, Marek - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 427-441
Persistent link: https://www.econbiz.de/10003879068
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Sensitivity analysis and density estimation for the Hobson-Rogers stochastic volatility model
Kawai, Reiichiro - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 283-295
Persistent link: https://www.econbiz.de/10003867401
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Modern logarithms for the Heston model
Fahrner, Ingo - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 23-30
Persistent link: https://www.econbiz.de/10003415501
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Componentwise splitting methods for pricing American options under stochastic volatility
Ikonen, Samuli; Toivanen, Jari - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 331-361
Persistent link: https://www.econbiz.de/10003441984
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Small-time asymptotics for implied volitility under the Heston model
Forde, Martin; Jacquier, Antoine - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 861-876
Persistent link: https://www.econbiz.de/10003911247
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Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
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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