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Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models
Pellegrino, Tommaso - In: Journal of mathematical finance 9 (2019) 3, pp. 455-493
Persistent link: https://www.econbiz.de/10012210363
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A general closed form approximation pricing formula for basket and multi-asset spread options
Pellegrino, Tommaso - In: Journal of mathematical finance 6 (2016) 5, pp. 944-974
Persistent link: https://www.econbiz.de/10011658120
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On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
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Malliavin differentiability of CEV-type Heston model
Tsumurai, Shota - In: Journal of mathematical finance 10 (2020) 1, pp. 173-199
Persistent link: https://www.econbiz.de/10012545592
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The stochastic volatility model, regime switching and value-at-risk (VaR) in international equity markets
Assaf, Ata - In: Journal of mathematical finance 7 (2017) 2, pp. 491-512
Persistent link: https://www.econbiz.de/10011674013