Narrow search
Showing 1 - 10 of 127
Cover Image
A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
Choi, Jaehyuk; Wu, Lixin - In: Quantitative finance 21 (2021) 7, pp. 1083-1086
Persistent link: https://www.econbiz.de/10012588019
Cover Image
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
Fukasawa, Masaaki; Hirano, Asuto - In: Quantitative finance 21 (2021) 7, pp. 1127-1146
Persistent link: https://www.econbiz.de/10012588025
Cover Image
Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
Cover Image
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Cover Image
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Cover Image
Effective stochastic volatility : applications to ZABR-type models
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 21 (2021) 5, pp. 837-852
Persistent link: https://www.econbiz.de/10012500196
Cover Image
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Cover Image
Rough volatility, CGMY jumps with a finite history and the Rough Heston model : small-time asymptotics in the k/t regime
Forde, Martin; Smith, Benjamin; Viitasaari, Lauri - In: Quantitative finance 21 (2021) 4, pp. 541-563
Persistent link: https://www.econbiz.de/10012483838
Cover Image
Fractional stochastic volatility correction to CEV implied volatility
Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon - In: Quantitative finance 21 (2021) 4, pp. 565-574
Persistent link: https://www.econbiz.de/10012483839
Cover Image
Application of power series approximation techniques to valuation of European style options
Gudkov, Nikolay; Ziveyi, Jonathan - In: Quantitative finance 21 (2021) 4, pp. 609-635
Persistent link: https://www.econbiz.de/10012483842