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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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On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 194-223
Persistent link: https://www.econbiz.de/10011739452
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Boundary evolution equations for American options
Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532
Persistent link: https://www.econbiz.de/10010486015
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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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A new look at short-term implied volatility in asset price models with jumps
Mijatovi´c, Aleksandar; Tankov, Peter - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 149-183
Persistent link: https://www.econbiz.de/10011550267
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Complete models with stochastic volatility
Hobson, David G. - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10001240799
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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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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