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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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Monotonicity of prices in Heston model
Aly, Sidi Mohamed Ould - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10009756039
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A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10009624464
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A parsimonious multi-asset Heston model : calibration and derivative pricing
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333
Persistent link: https://www.econbiz.de/10009541994
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European options sensitivity with respect to the correlation for multidimensional Heston models
Abbas-Turki, Lokman A.; Lamberton, Damien - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-36
Persistent link: https://www.econbiz.de/10010364767
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Worst-of options and correlation skew under a stochastic correlation framework
Romo, Jacinto Marabel - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-32
Persistent link: https://www.econbiz.de/10009685884
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Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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A correlated stochastic volatility model measuring leverage and other stylized facts
Masoliver, Jaume; Perelló, Josep - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 541-562
Persistent link: https://www.econbiz.de/10001687146
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On the Heston model with stochastic correlation
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10011572381
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Quanto pricing in stochastic correlation models
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10011903766