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Performance measurement for option portfolios in a stochastic volatility framework
Baule, Rainer; Entrop, Oliver; Wessels, Sebastian - In: Quantitative finance 22 (2022) 3, pp. 519-539
Persistent link: https://www.econbiz.de/10013167776
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A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
Choi, Jaehyuk; Wu, Lixin - In: Quantitative finance 21 (2021) 7, pp. 1083-1086
Persistent link: https://www.econbiz.de/10012588019
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Explicit option valuation in the exponential NIG model
Aguilar, Jean-Philippe - In: Quantitative finance 21 (2021) 8, pp. 1281-1299
Persistent link: https://www.econbiz.de/10012608646
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Valuation of options under a constant elasticity of variance process and stochastic volatility
AbaOud, Mohammed A. - In: Quantitative finance 21 (2021) 8, pp. 1301-1307
Persistent link: https://www.econbiz.de/10012608648
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Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
Garces, Len Patrick Dominic M.; Cheang, Gerald H. L. - In: Quantitative finance 21 (2021) 12, pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809
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Revisiting the Samuelson hypothesis on energy futures
Liu, W.-H. - In: Quantitative finance 21 (2021) 12, pp. 2089-2101
Persistent link: https://www.econbiz.de/10012696819
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Application of power series approximation techniques to valuation of European style options
Gudkov, Nikolay; Ziveyi, Jonathan - In: Quantitative finance 21 (2021) 4, pp. 609-635
Persistent link: https://www.econbiz.de/10012483842
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Effective stochastic volatility : applications to ZABR-type models
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 21 (2021) 5, pp. 837-852
Persistent link: https://www.econbiz.de/10012500196
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A comparison principle between rough and non-rough Heston models - with applications to the volatility surface
Keller-Ressel, M.; Majid, Assad - In: Quantitative finance 20 (2020) 6, pp. 919-933
Persistent link: https://www.econbiz.de/10012262636