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Pricing options on variance in affine stochastic volatility models
Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 627-641
Persistent link: https://www.econbiz.de/10009311683
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A consistent pricing model for index options and volatility derivatives
Cont, Rama; Kokholm, Thomas - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 248-274
Persistent link: https://www.econbiz.de/10009721749
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Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach
Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363
Persistent link: https://www.econbiz.de/10010357372
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Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei; Linetsky, Vadim - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
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Bessel processes, stochastic volatility, and timer options
Li, Chenxu - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 122-148
Persistent link: https://www.econbiz.de/10011550172
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High-order short-time expansions for ATM option prices of exponential Lévy models
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 516-557
Persistent link: https://www.econbiz.de/10011583594
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Cash subadditive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 561-590
Persistent link: https://www.econbiz.de/10003937131
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10011350647