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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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Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas; Lee, Geoffrey; Zhu, Zili - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
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Calibration of stochastic volatility models via second-order approximation : the Heston case
Alòs, Elisa; Santiago Hernando, Rafael de; Vives, Josep - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-31
Persistent link: https://www.econbiz.de/10011403898
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Smile modeling in commodity markets
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012271006
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Some pricing tools for the variance gamma model
Aguilar, Jean-Philippe - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10012271024
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Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
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Option pricing based on a log-skew-normal mixture
Jiménez, José Alfredo; Arunachalam, V.; Serna, G. M. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-22
Persistent link: https://www.econbiz.de/10011418885
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Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
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A simple time-consistent model for the forward density process
Hult, Henrik; Lindskog, Filip; Nykvist, Johan - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-29
Persistent link: https://www.econbiz.de/10010243619
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Numerical schemes for option pricing in regime-switching jump diffusion models
Florescu, Ionuţ; Liu, Rui Hua; Mariani, Maria Cristina; … - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-25
Persistent link: https://www.econbiz.de/10010243624