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A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data
Lejay, Antoine; Pigato, Paolo - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012030906
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Quantile correlations : uncovering temporal dependencies in financial time series
Schmitt, Thilo A.; Schäfer, Rudi; Dette, Holger; Guhr, … - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-16
Persistent link: https://www.econbiz.de/10011403969
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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie-jane - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10009624510
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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969