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Joining the Heston and a three-factor short rate model : a closed-form approach
Horsky, Roman; Sayer, Tilman - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-17
Persistent link: https://www.econbiz.de/10011419421
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Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
O'Sullivan, Conall; O'Sullivan, Stephen - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10009756043
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Chi-square simulation of the CIR process and the Heston model
Malham, Simon J. A.; Wiese, Anke - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-38
Persistent link: https://www.econbiz.de/10009756062
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Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
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Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Lütkebohmert-Holtz, Eva; Matchie, Lydienne - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010363958
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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
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A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
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On pricing contingent claims under the double heston model
Costabile, M.; Massabò, I.; Russo, E. - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10009672610
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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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Worst-of options and correlation skew under a stochastic correlation framework
Romo, Jacinto Marabel - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-32
Persistent link: https://www.econbiz.de/10009685884