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Mean-variance hedging and optimal investment in Heston's model with correlation
Černý, Aleš; Kallsen, Jan - In: Mathematical finance : an international journal of … 18 (2008) 3, pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
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Equity correlations implied by index options : estimation and model uncertainty analysis
Cont, Rama; Deguest, Romain - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 496-530
Persistent link: https://www.econbiz.de/10009783356
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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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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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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
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Put-call symmetry : extensions and applications
Carr, Peter; Lee, Roger - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 523-560
Persistent link: https://www.econbiz.de/10003937125
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Moment explosions and stationary distributions in affine diffusion models
Glasserman, Paul; Kim, Kyoung-kuk - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10003955654
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Exact solution of a martingale stochastic volatility option problem and its empirical evaluation
Maghsoodi, Yoosef - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 249-265
Persistent link: https://www.econbiz.de/10003543128
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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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Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881
Persistent link: https://www.econbiz.de/10011308159