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Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo - In: Quantitative finance 22 (2022) 3, pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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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
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Callable barrier reverse convertible securities
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Quantitative finance 21 (2021) 9, pp. 1519-1532
Persistent link: https://www.econbiz.de/10012624152
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CMS spread options
Hagan, Patrick S.; Lesniewski, Andrew; Skoufis, G. E.; … - In: Quantitative finance 21 (2021) 11, pp. 1809-1824
Persistent link: https://www.econbiz.de/10012696777
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The limitations of estimating implied densities from option prices
Shelton, Austin; Kane, Hayden; Favreau, Charles - In: Quantitative finance 21 (2021) 11, pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
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Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
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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
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Pricing high-dimensional American options by kernel ridge regression
Hu, Wenbin; Zastawniak, Tomasz - In: Quantitative finance 20 (2020) 5, pp. 851-865
Persistent link: https://www.econbiz.de/10012262630
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Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
Phelan, C. E.; Marazzina, D.; Germano, G. - In: Quantitative finance 20 (2020) 6, pp. 899-918
Persistent link: https://www.econbiz.de/10012262635
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Exchange options under clustered jump dynamics
Ma, Yong; Pan, Dongtao; Wang, Tianyang - In: Quantitative finance 20 (2020) 6, pp. 949-967
Persistent link: https://www.econbiz.de/10012262652