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Exact simulation of the 3/2 model
Baldeaux, jan - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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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
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Computation of volatility in stochastic volatility models with high frequency data
Barucci, Emilio; Mancino, Maria Elvira - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 767-787
Persistent link: https://www.econbiz.de/10008904328
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Regime-switching recombining tree for option pricing
Liu, Rui Hua - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 479-499
Persistent link: https://www.econbiz.de/10008904355