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Monotonicity of prices in Heston model
Aly, Sidi Mohamed Ould - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10009756039
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A parsimonious multi-asset Heston model : calibration and derivative pricing
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333
Persistent link: https://www.econbiz.de/10009541994
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Covariance and correlation swaps for financial markets with Markov-modulated volatilities
Salvi, Giovanni; Sviščuk, Anatolij - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363946
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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
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Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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A correlated stochastic volatility model measuring leverage and other stylized facts
Masoliver, Jaume; Perelló, Josep - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 541-562
Persistent link: https://www.econbiz.de/10001687146
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Asymmetries, correlations and fat tails in percolation markets model
Chang, Iksoo; Stauffer, Dietrich; Pandey, Ras B. - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 585-597
Persistent link: https://www.econbiz.de/10001743190
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Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
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On the Heston model with stochastic correlation
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10011572381