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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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Option prices and stock market momentum : evidence from China
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng F. - In: Quantitative finance 18 (2018) 9, pp. 1517-1529
Persistent link: https://www.econbiz.de/10011913187
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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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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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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
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Orthogonal expansions for VIX options under affine jump diffusions
Barletta, Andrea; Nicolato, Elisa - In: Quantitative finance 18 (2018) 6, pp. 951-967
Persistent link: https://www.econbiz.de/10011911220
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American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
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On the seasonality in the implied volatility of electricity options
Fanelli, Viviana; Schmeck, Maren Diane - In: Quantitative finance 19 (2019) 8, pp. 1321-1337
Persistent link: https://www.econbiz.de/10012194790
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Pricing exchange options with correlated jump diffusion processes
Cufaro Petroni, Nicola; Sabino, Piergiacomo - In: Quantitative finance 20 (2020) 11, pp. 1811-1823
Persistent link: https://www.econbiz.de/10012313516