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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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The principle of not feeling the boundary for the SABR model
Chen, Nan; Yang, Nian - In: Quantitative finance 19 (2019) 3, pp. 427-436
Persistent link: https://www.econbiz.de/10012194662
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A fast algorithm for simulation of rough volatility models
Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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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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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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Implied roughness in the term structure of oil market volatility
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
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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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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