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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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Generative Bayesian neural network model for risk-neutral pricing of American index options
Jang, Huisu; Lee, Jaewook - In: Quantitative finance 19 (2019) 4, pp. 587-603
Persistent link: https://www.econbiz.de/10012194699
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Implicit expectiles and measures of implied volatility
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit - In: Quantitative finance 18 (2018) 11, pp. 1851-1864
Persistent link: https://www.econbiz.de/10012262851
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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Index volatility and the put-call ratio : a tale of three markets
Gang, Jianhua; Huang, Nan; Song, Ke; Zhang, Ruyi - In: Quantitative finance 20 (2020) 12, pp. 1983-1996
Persistent link: https://www.econbiz.de/10012313532
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Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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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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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