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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
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Series expansion of the SABR joint density
Wu, Qi - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 310-345
Persistent link: https://www.econbiz.de/10009613197
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A note on hedging in ARCH and stochastic volatility option pricing models
Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161
Persistent link: https://www.econbiz.de/10001242838
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Approximating GARCH-Jump models, jump-diffusion processes, and option pricing
Duan, Jin-Chuan; Ritchken, Peter H.; Sun, Zhiqiang - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 21-52
Persistent link: https://www.econbiz.de/10003336780
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Option pricing in arch-type models
Kallsen, Jan - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 13-26
Persistent link: https://www.econbiz.de/10001240800
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Optimal static-dynamic hedges for barrier options
Ilhan, Aytaç; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 359-385
Persistent link: https://www.econbiz.de/10003326016
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Hedging with energy
Corielli, Francesco - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 495-517
Persistent link: https://www.econbiz.de/10003338687
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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Minimum guaranteed payments and costly cancellation rights : a stopping game perspective
Alvarez, Luis H. R. - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 733-751
Persistent link: https://www.econbiz.de/10008667600
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Complex logarithms in Heston-like models
Lord, Roger; Kahl, Christian - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 671-694
Persistent link: https://www.econbiz.de/10008667627