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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
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On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
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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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Volatility derivatives in market models with jumps
Lo, Harry; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
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A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.; Liu, Rui Hua; Nguyen, D. - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
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Decomposition formula for rough Volterra stochastic volatility models
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; … - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-47
Persistent link: https://www.econbiz.de/10012650356
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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
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Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929
Persistent link: https://www.econbiz.de/10008905110