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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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Information flow dependence in financial markets
Michaelsen, Markus - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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A fast, stable and accurate numerical method for the black-scholes equation of American options
Ehrhardt, Matthias; Mickens, Ronald Elbert - In: International journal of theoretical and applied finance 11 (2008) 5, pp. 471-501
Persistent link: https://www.econbiz.de/10003759938
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Storage options valuation using multilevel trees and calendar spreads
Manoliu, Mihaela - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 425-464
Persistent link: https://www.econbiz.de/10002108799
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Pricing of the American put under Lévy processes
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 303-335
Persistent link: https://www.econbiz.de/10002111463
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The spectral decomposition of the option value
Linetsky, Vadim - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 337-384
Persistent link: https://www.econbiz.de/10002111464
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Closed form solutions for quadratic and inverse quadratic term structure models
Laurence, Peter; Wang, Tai-Ho - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1059-1083
Persistent link: https://www.econbiz.de/10003280034
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Implied volatility trees and pricing performance: Evidence from the S&P 100 options
Linaras, Charilaos E.; Skiadopoulos, George - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1085-1106
Persistent link: https://www.econbiz.de/10003280037
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Pricing derivatives on two-dimensional Lévy processes
Barbachan, José Santiago Fajardo; Mordecki, Ernesto - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 185-197
Persistent link: https://www.econbiz.de/10003312719