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Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
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Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent; Dao, Tung-Lam; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
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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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Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
Patel, Kuldip Singh; Mehra, Mani - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011892590
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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
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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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The heat-kernel most-likely-path approximation
Gatheral, Jim; Wang, Tai-Ho - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
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Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
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Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43
Persistent link: https://www.econbiz.de/10011854564
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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